实际选择权决策框架

Framework For Real Option Decision

自从Black—Scholes公式发表之后,期权问题成为财务经济学中最热门的研究领域,其中资本预算决策中的实际选择权方法是迄今为止最前沿的研究领域之一。本论文试图总结实际选择权问题在理论和实践上的发展过程,并提出实际选择权的基本定价方法的框架结构。首先讨论几种传统资本预算方法的缺点,再从灵活性措施的价值引入实际选择权的概念。因为灵活性措施提供的投资机会和金融期权都共同拥有一个最核心的特点:权利与义务的不对称性,故此可以把这些投资机会和金融期权做类比,认为灵活性的投资机会是一种实标选择权。接着概述实际选择权理论的发展历程。然后提出了实际选择权资本决策的总体架构,指出管理者真正关心的应当是扩大的、战略性的净现值。最后给出的若干通解对那些具有相似条件的实际选择权定价都是适用的。

Since the fomulas of Black-Scholes were published,the problem about option has become apopular study in the financial economics,of which the real option decision is one of the fronfest studies.This paper tries to sum up the development of real option both in theory and practice and raise a basicmethod to fix price and framework of real option. First,we discuss the shortcomings in a few traditionalcapital budget methods,and then introduce real option from the value of flexible measures. As investmentchance supplied by the flexible measures and financial option share a key character; non-symmetry of rightand duty,we can compare investment chance with financial option and believe that flexible investmentchance is a kind of real options. Then we talk about the development of real option theory. After that,weput forward the framework for real option decision and point out what the managers really concern aboutshowld be the expanding strategic NPV. At last,a few general solutions given are suitable for the real op-tions with similar conditions to fix price