经营性租赁固定资产实物期权定价的研究

On the Option Pricing of Operating Leasing Fixed Assets

市场经济环境中不确定因素很多,机会与风险并存,客观上给期权定价理论的研究与应用提供了广阔的空间。实物期权定价理论在投资合同的成功应用,关键在于所投资的项目一般都具有初衷可以修改或决策可以延迟的特点。租赁一项固定资产其实就是一个潜在的投资项目,并且经营性租赁的固定资产,也具备上述特点。这样,此类固定资产就应该可以用期权定价理论为其定价。本文针对经营性租赁固定资产的续租决策的灵活性,运用看涨期权思想,将一项经营性租赁理解为若干实物期权的组合,引入Black-Scholes模型进行定价分析,探讨一种新的经营性租赁固定资产的估价方法。

In a market economy environment,there are a lot of uncertain factors,and opportunities are to coexist with risks.Objectively speaking,this has provided a broad space for the option pricing theory research and application.The key of successful application for real option pricing theory in the investment contracts lies in the characteristics of investment projects which can be modified from contractors＇ initial intention or in which the decision-making be postponed.Leasing a fixed asset is actually a potential investment project,and operating leases of fixed assets has also the above characteristic.So options pricing theory for pricing can be applied to analyze these fixed assets.In the article,by using the thought of call option and aiming at the flexible lease renewal decision of operating leasing assets,an operating lease is interpreted as the combination of several real options and pricing analysis is carried out through Black-Scholes model.Based on the analysis,a new kind of pricing method for operating leasing assets has been provided and discussed.