摘要
实物期权能够恰当地反映管理的灵活性价值,但是实际应用中往往对应多个标的物,现有的方法不能很好的求解其价值及变量的敏感性,从而限制了其应用.本文将多个标的资产视为一篮子资产组合,通过矩匹配方法求得组合资产的近似分布,从而可求解多标的实物期权的解析解,并通过案例分析了该方法的优势和便利性.
Real option can properly reflect managerial flexibility. However, its valuation and greeks cannot be effectively solved using current method when it tend to be wI:itten on multi underlying assets, so the application of real option approach is restricted in reality. This paper employs analytical approximations based on the moment matching method , regarding multi underlying assets as a portfolio. Furthermore, the advantage and convenient of this method were studied through a case analysis.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第16期70-78,共9页
Mathematics in Practice and Theory
基金
国家自然科学基金(70971098
71001077)
天津市教委社科重大项目(2011ZD026)
天津市哲社项目(TJYY11-2-042)
关键词
矩匹配
多标的资产
实物期权
封闭解
Moments matching
multi underlying assets
real option
closed-form solution