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考虑了一类具有多个时间点重置执行价格的欧式熊市（或牛市）重置权证定价.应用鞅定价方法和多维正态分布函数，得到了该类权证价格的显示解和Δ对冲策略，推广了Gray和Whaley的单时点重置权证定价模型. 相似文献
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The traditional scheduling for vehicle is option in the fixed network. But it can't satisfy the real time environment. The demand of order is changeable and uncertain in real environment. It is convenient for scheduling transforming it into static data, but can't get the advantage on time. This paper proposes a real time vehicle scheduling on the study of traditional scheduling and discusses the model structure and the key technology for the real time system that establishes the base for develop teal time system. 相似文献
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ZHOU Zhuo-hua 《保鲜与加工》2005,(11):142-145
The method of real option has already become an important tool in the fields of enterprises value evaluation, company finance, strategy investment management, investment decision, finance analysis, corporation merger and acquisition and so on. But there is a lot of problems in both theory and practical application for the method of real option. This article will analyze the research frontier problem of real option and indicate the further research direction. 相似文献
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考虑有限体积法定价欧式的Merton型跳扩散期权模型.基于线性有限元空间,构造了向后Euler和Crank-Nicolson两种全离散有限体积格式,且离散矩阵均为M-矩阵.针对方程中的积分项,采用一类高效的线性插值技术进行逼近.数值实验验证了本文方法的有效性和稳健性. 相似文献
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期权博弈理论在不确定性投资决策中的应用 总被引：3，自引：0，他引：3
应用期权博弈理论方法分析了存在竞争条件下的不确定性投资决策问题。建立了一个双寡头模型，用实物期权方法计算了模型中2个公司的价值，并分析了模型的均衡状态，给出了影响产品需求的随机因素位于不同区间上时。2公司的均衡状态及其最优的投资决策。分析结果表明，随着影响产品需求的随机因素值的变化2公司的最优策略是。做领导者、跟随者或者采取对二者无差别的态度；只有当随机变动值非常大时，同时投资对2公司而言才可能是最优的策略。 相似文献
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政府部门应该以国际公共部门会计准则为依据对PPP项目中的政府保证进行会计确认，反映PPP项目中政府保证的成本及其隐含的风险，增强政府部门的成本意识，避免过度提供保证。根据业绩担保类政府保证的看跌期权性质，建议应用期权定价的技术进行会计计量，将其确认为报表中的金融负债。并可通过建立政府保证基金的方式解决政府保证单独估价造成的成本高估问题。 相似文献
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中国农产品期货市场发展问题研究 总被引：2，自引：0，他引：2
从农业自然属性和政府宏观调控两个方面入手，阐述了发展我国农产品期货市场对于中国农业发展和改革的作用，并在研究农产品期货市场的同时，指出了现存的问题及解决办法，深入探讨了农产品期货市场的发展方向。 相似文献
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原料基地的战略价值研究--期权定价模型的应用 总被引：2，自引：0，他引：2
在市场风险下 ,加工企业控制一定比例的原料供应 ,相当于购买了一种期权 ,这种期权对林工联合体有着不可忽视的战略价值 ,它可大大减少加工企业的市场风险暴露。本文应用期权定价模型对这种战略价值进行定量研究 ,敏感分析表明 :当木材市场价格水平、长期资本利率水平越高 ,木材价格波动率越大 ,加工企业拥有原料基地的战略价值越大。期权定价模型的应用为正确认识原料基地的战略价值 ,分析木材限额采伐政策等提供了良好的基础。 相似文献
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This paper demonstrates the utility of the real options approach to forestry investment analysis. The main objectives are to discuss the real option theory and show how it can be adopted to model uncertainty and managerial flexibility in forest management and investment. Secondly, we show how to calculate the option values of selected options that may be available to managers of forest industry firms. The paper provides an empirical application, which compares a forestry investment using the static Faustmann model and the real options approach. Four management options are used for the real options approach: an option to delay reforestation, an option to expand the size of the wood processing plant, an option to abandon the processing plant if timber prices fall below a certain level or due to corporate take-over, and multiple options that evaluated all three options together. All options were evaluated using the binomial option-pricing model, where timber values are assumed to follow a multiplicative binomial process. The results show that the Faustmann analysis rejected the investments as unprofitable, while the option analysis showed that all three options were highly valuable if exercised. When real options are considered, the traditional Faustmann model for assessing the profitability of a forestry investment may fail to provide an adequate decision-making framework because it does not properly value management's ability to adjust to shocks in the economy, as well as risks and uncertainty. 相似文献