The Investment-Uncertainty Relationship in a Real Option Model
The Investment-Uncertainty Relationship in a Real Option Model
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实物期权模型中的投资与不确定性关系
DOI：
10.1109/bife.2009.86
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Shenghong Li
中科院分区：
文献类型：
--
作者：
Shanshan Ding;Liugen Wang;Shenghong Li
本文通过一个真实的期权模型研究了不确定性对投资的影响。通过引入未定权益分析，将投资机会建模为具有到期时间的美式看涨期权。通过引入惩罚函数，美式期权模型可以合理地分析不确定性与投资的关系。我们发现，最佳的行使边界表现出一个U形的模式对项目的波动性。此外，预期行使投资选择权的时间也继承了这种模式。
This paper examines the effect of uncertainty on investment in a real option model. By introducing the contingent claims analysis the opportunity to invest is modeled as an American call option with expiring time. By the use of penalty function, the American option model can rationally analyze the uncertainty-investment relationship. We show that the optimal exercise boundary exhibits a U-shaped pattern against the volatility of the project. Furthermore, such a pattern is inherited by the expected time to exercise the investment option.