Stochastic Discount Factors and Real Options
Stochastic Discount Factors and Real Options
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随机贴现因子和实物期权
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
P. May
中科院分区：
文献类型：
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作者：
P. May
本文采用随机贴现因子（SDF）对实物期权进行定价，并引入预期贴现缺口（EDS）风险度量来控制风险。描述了一种基于多变量协方差的SDF建模框架。根据布朗过程和奥恩斯坦-乌伦贝克过程，导出了资产价格关联矩阵与风险溢价的显式公式。将SDF应用于实物期权问题，通过消除复制投资组合的要求，简化了计算和经济假设。SDF方法没有确定对冲投资组合，因此必须使用其他风险控制方法进行补偿。EDS是一种连贯的、多期风险度量方法，它计算现金流不足时股东面临的风险现值。包括一个实物期权的例子，关注现金流，使用SDF方法来衡量回报的变化，使用EDS风险度量来定价风险的增加。随着时间的推移，风险和回报的变化也进行了研究。
This paper uses the stochastic discount factor (SDF) to price real options and introduces the expected discounted shortfall (EDS) risk measure to control risk. A multivariate covariance based SDF modelling framework is described. Explicit formulae linking the correlation matrix to the risk premium are derived for assets prices following both Brownian and Ornstein-Uhlenbeck processes. Applying the SDF to real option problems simplifies calculations and economic assumptions by removing the requirement for replicating portfolios.The SDF method does not identify a hedging portfolio, so other risk control methods have to be used to compensate. EDS is a coherent, multi-period risk measure that calculates the present value of the risk to the shareholder, that cashflows are insufficient. An example real option is included, focusing on cashflow, using the SDF approach to measure the change in return and the EDS risk measure to price the increase in risk. The changing risk and return profile over time is also studied.