动态规划在不确定投资中的应用

Application in Uncertain Investment of Dynamic Programming

本文指出了传统的NPV法则在衡量投资项目价值方面的不足,引入了实物期权定价的思想,并将其应用到实际的并购案例。企业的投资机会等同于永久看涨期权,贝尔曼最优方程基于动态规划和随机过程,由其推导出的定价公式充分考虑了投资项目的不确定性和增长机会的价值,辅助了投资者的投资决策。

Traditional NPV rule has shortage in measuring the value of an investment project, this paper introduces the theory of real option and applies it in the case of merger and acquisition. The opportunity of investment for a firm equals to a permanent call option. Bellman optimization equation, which is based on dynamic programming and stochastic process, deduces pricing formula which considers the uncertainty and the value of growing opportunity.