考虑管理人因素的风险项目期权估值方法研究

Research on the Estimation Approach of the Risk Project Option in Considering Manager-Related Factors

基于对风险项目及其“孪生证券”风险和收益特性的分析 ,认为真正的“孪生证券”实际中很难存在 ,进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征 ,利用无风险套利分析确定项目实物期权价值的方法。考虑到管理人因素造成的实物期权内部风险特征的不可复制性 ,利用“确定性等值”将内部风险价值 VI具体化 ,对“近似孪生证券”

Based on the analysis of risk project and its 'twin security' risk as well as revenue characteristics,it is considered that it is difficult for the real 'twin security' to exist in the real situation so that the 'approximate twin secutity' and the risk free security are suggested to form asset portifolio for replicating the revenue characteristics of real option. Also,the non arbitrage analysis is used to determine the value method of project real option. Accordingly,given the impossibility of replication of internal risk characteristics of real option caused by mananger related factors, the 'approximate twin security' method is modified using 'effective certain equivalent' to make the internal risk value V I  be concrete.