不确定环境下项目评估的期权决策树研究

Option-decision-tree Method of Project Evaluation Under Uncertainty Environment

在不确定环境下,传统的净现值(NPV)项目评估方法由于忽略决策的灵活性而低估了项目的价值。针对这种不足,根据期权特性提出期权决策树评估方法,即把实物期权的思想嵌入到决策树中,从而使评估包括了项目投资的不确定性价值。期权决策树分析方法采用了B S期权定价公式以及McDonald和Siegel关于是否继续生产的期权定价公式,计算出了不同决策方案的价值。并进一步讨论了不确定性的价值大小以及对决策的影响。示例证明:期权决策树方法比传统的净现值方法更具有科学性、准确性和实用性。

Under uncertain environment, traditional evaluation method-NPV underestimates the value of project, as neglecting the worthiness of uncertainty. Based on the characters of option, option-decision-tree (ODT) is used to solve NPV shortages.The uncertainty value is considered by embedding the real-option idea in decision-tree. Different option pricing formulations,such as B-S, McDonald and Siegel,are adopted to calculate the real-option value of the varied decisions. Further, the size of uncertainty and its influences in making-decision are discussed. Comparing the results of option-decision-tree evaluation with that of traditional methods, it is verified that the ODT is more scientific and practical.