摘要
阐述了实物期权的基本原理和亚式期权的内涵及定价求解;基于样条函数模型,从上海证券交易所国债市场和企业债券市场分别推导出无违约利率期限结构和违约利率期限结构,用国债市场的无违约利率作为无风险利率,用企业债券市场的含违约风险的利率作为折现率,并将亚式期权和博弈论结合起来,分析了双寡头市场结构下的R&D投资决策分析。
The basic principle of real option, the connotation and the solution of Asian option were dissertated. From the spline function model, the fault-free term structure of interest rates （TSIR） was induced for the samples of treasure bonds from Shanghai Stock Exchange （sse）, faultable TSIR was induced for the samples of corporate bonds from sse and fault-free interest rate of treasure bonds was taken as riskfree interest rate and faultable interest rate of corporate bonds was taken as the discount rate. Combination of Asian option with game theory, the R＆D investment decision in duopoly market structure was mainly analyzed. An example is also given.
出处
《管理学报》
2007年第5期580-583,共4页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70371035
70671025)
安徽省教育厅人文社科资助项目(2007SK120)
关键词
亚式期权
利率期限结构
博弈理论
R&D投资
asian option
term structure of interest rates
game theory
R＆D investment
