包含多重复合实物期权的风险项目价值研究

Highly Uncertain Projects Valuation Based on Sequential and Multiple Real Options

实物期权估值方法能反映风险项目的机会价值和高度不确定性,但实际风险项目往往包含多个、多期的期权,各期权相互影响,不能简单相加,因而难以应用。文章通过蒙特卡罗模拟,实证研究了当风险项目包含复合多重实物期权时,其估值的一般方法。分析了包含一个扩张期权、一个复合交换型期权和一个普通复合期权的风险项目灵活性价值,并讨论了期权的相互作用和期权价值对变量的敏感性。

Real option method can be used to appropriately valuate opportunity and highly uncertainty of a risky project.But most real projects contain sequential and multiple real options,and theses interacted options cannot be simply added together.As a result,the application of real option method is difficult.Using Monte-Carlo simulation,we empirically researched how to valuate highly uncertain projects based on sequential and multiple real options.In this paper,we analyzed the flexibility value of a complex project,including a expand call option,a compound exchange option and an ordinary compound option.Further more,we studied option interactions and sensitivities of the total option value to its underlying variables.