项目投资期权决策方法及应用研究

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1、沈阳工业大学硕士学位论文项目投资期权决策方法及应用研究姓名：王崇喜申请学位级别：硕士专业：管理科学与工程指导教师：孟力;赵红20040305沈ml。I：业人学硕：t学位论文StudiesonOptionDecisionMethodanditsApplicationinProjectInvestmentAbstractThecoreofinvestmentdecisionistocomparethevalueandthecostofaninvestmeManddecidethefeasibility．Thetraditiona

2、linvestmentdecisionmethods，representedbyNetPresentValuemethod，comparethepresentvaluesofexpectedincomeandcoststreamtodecide．Althoughtheyconsiderthe事e1群a砖oftimeandrisk,theyignorethestrategicvalueofcreatingfollowinggrowthoppommifiesandtheflexibilitytoadjustaccordingto

3、themarketchanges，RealOptionsTheoryregardsallkindsofinvestmentopportunitiesandmanagementflexibilityasoptionandprovides8practicalqualitalivet001．Itisagreatprogressofinvestmentdecisiontheories．O西onandGameTheoryisthelatestdevelopment,whichcombinesoptionpricingtheoryand

4、gametheorytoinvestscientifically．Thispaperspreadsaccordingtotheevolutionofinvestmentdecisionmethods．Itmainlyincludes：1．Completelyanalysestraditionalinvestmentdecisionmethods,brieflyappraiseshypothesispresuppositionofeachmethodandpointsouttheirlimitations；2．Systemic

5、allysummarizesOptionPricingTheory，analysesinfluencefactorsofoptionvalue，discussesbinominaltreemodelandBlack-ScholesmodelandextendsBlack-Scholesmodel；3．Newhightechnologycorporationshavethesecharacteristics：longR&Dduration,highinvestmentCOStalldbigdilt'crcnccsofriskl

6、evelbetweeneachandeverystep．RealoptiontheoryWasthusappliedtOanalyzingquantitativelytheoptimalstrategyandtheratioofstockrightbywayofbuildinganembeddedoptioncashflowchart；4．BecauseMergersandAcquisitionshashigh1．iskandhighreturn，WeCanaddacOntractclauseguaranteeingapri

7、cefloortotheacquisitionoffer．Thevalueofthecontractcalculatedbyapplyingbinomialtreemodelanddigitalsbnulationsoftwareisscientificandreasonable；5．Undertheassumptionthatmanyfirmscompetefbrasingleinvestmentopportunityandonlyonefirmcangetit．thepapermodelsthehazardrateofi

8、nvestmentasafunctionofcompetitors’triggerleveltoestimatethelikelihoodthatcompetitorswillinvest。Underuncertaintyanddifferentinformationstructure。o