项目投资决策的实物期权模型及其应用

Project investment Decision-making of the Real Option Model and Its Application

传统的项目投资决策方法不能充分体现投资决策的灵活性,他虽考虑了时间与风险的收益,但忽略了投资项目的后续机会的战略价值,常常低估了投资项目的实际价值,使投资者失去有价值的投资项目。在投资环境瞬息万变的情况下,传统的项目投资决策方法产生的效果与实际价值相差显著。而实物期权理论为投资决策提供了一个新的思路,他把金融期权思想运用到实物资产的评价中,充分考虑到决策过程中的投资机会与管理柔性。此文假设项目投资标的资产符合几何布朗运动及其他假设条件,构建由项目投资标的资产、项目期权价值组成的投资组合,据此建立项目投资决策的实物期权模型。根据该模型计算项目投资灵活性价值,并结合净现值法对项目作出投资决策。

The appraisal methods of the traditional investment cant fully manifest the investment decision -making＇s flexibility. Although the traditional investment appraisal methods have considered reward of the time and the risk, they neglect the strategic value of the investment project＇s following growth opportunity and frequently underestimate the investment project＇s actual value, which cause the investor to lose the valuable investment project. In the fast changing situation of investment environment, the traditional investment appraisal method and the actual value are more remarkable. Real options theory has provide a new field of vision for investment decision - making, which make use of financial option theory in the appraisal of real asset and fully consider the opportunities for investment and the management flexibility in the decision - making process. On the assumption that the asset value conforms to the geometry Brown movement and other conditions, an investment portfolio, consisting of the asset value, the option of project investment, has been structured and a basic model of project investment decision based on option has been set up.