柔性制造系统中的实物期权识别和定价

在对柔性制造系统的不确定性来源分析的基础上 ,指出产品需求是影响柔性生产的主要不确定性来源 ;通过与金融期权的对比 ,辨识和描述柔性制造系统中所蕴含的实物期权 ,即单品种生产期权 ,多品种生产期权和多周期、多品种、有生产准备的生产期权 ;建立生产期权多维格型定价模型 ,并以多品种生产期权为例进行了案例研究 ,表明该模型可以有效地处理柔性制造系统中的环境不确定性。

实物期权理论及应用研究综述

本文主要介绍关于实物期权的概念、分类和定价方法,对其基本应用进行说明,最后对实物期权理论和应用研究的新动向进行评析。

浅析企业并购中的期权思维与期权价值

在并购决策中,企业往往容易忽视隐含其中的期权价值。并购行为作为一项财务投资决策,至少具备后续投资机会与柔性生产设备两种实物期权的特征。投资为企业带来的现金流收益,同时决策本身具备期权价值,该价值可以利用著名的Black-Scholes模型核算。

Integration of real options into short-term mine planning and production scheduling

Commodity prices have fallen sharply due to the global financial crisis. This has adversely affected the viability of some mining projects, including leading to the possibility of bankruptcy for some companies. These price falls reflect uncertainties and risks associated with mining projects. In recent years, much work has been published related to the application of real options pricing theory to value life-of-mine plans in response to long term financial uncertainty and risk. However, there are uncertainties and risks associated with medium/short-term mining operations. Real options theory can also be applied to tactical decisions involving uncertainties and risks. This paper will investigate the application of real options in the mining industry and present a methodology developed at University of Queensland, Australia, for integrating real options into medium/short-term mine planning and production scheduling. A case study will demonstrate the validity and usefulness of the methodology and techniques developed.