基于实物期权的船舶投资决策分析框架研究

Ship Investment Decision Framework Based on Real Option

针对传统船舶投资过程中存在的问题,旨在建立一个基于项目管理的船舶投资决策分析框架。在对投资项目进行定性分析的基础上,认为船舶投资中存在着期权价值。通过建立期权定价模型,并利用CrystalBall软件运用蒙特卡洛模拟方法模拟航运市场波动率,从而对船舶投资项目进行评价。最后通过实例分析得出,拥有实物期权的船舶投资项目的价值要大于传统方法求得的投资项目价值。

For the problems existed in the traditional ship investment decision, a framework is developed based on Project Management. Qualitative analysis and quantitative analysis are made by using of real option analysis. Option Pricing Model is established, and Crystal Ball software is used to simulate the fluctuation ratio of shipping market through Monte Carlo method, and then the project of ship investment is evaluated. Finally, the results indicate the ship investment projects with option have much more value than those ship investment projects by traditional analytical methods.