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Research On The Pricing Theories And Models Of Compound Real Options

Posted on:2006-12-21Degree:MasterType:Thesis
Country:ChinaCandidate:H S FanFull Text:PDF
GTID:2156360152475358Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
That the systemic research on the pricing theories and models of compound real options has not only important theoretical and learned value, but also significant meaning for evaluating multiple flexible values in the investment and advancing veracity of evaluating the investment.The paper aims at study of compound real options.. Based on analyses and research of Trigeorgis (1993), Kulatilaka (1995), Rainer Brosch (2001) and Yang yi and Hu wen-xiu (2004), this paper firstly summarizes the existing financial literatures on study of compound real options. Secondly, the theories of compound real options are systemically qualitative discussed, including its concept, compound relations, types and reciprocity. Finally, the special studies of the pricing models of the diversified compound real options are conducted.The results indicate: relative to compound financial options, the meaning of compound real options is much more abundant. Except the traditional causal compound relation, compound real options still have the parallel and correlative compound relations. Accordingly, except the causal compound real options, it also has parallel and correlative compound real options. Multi-phase investment option, which always consists in venture investment, high-tech R&D and resource exploitation item, is really just one of the causal compound real options. Compound real options have not only multiple the compound relations and types, but also very complicated reciprocity, but, the essence and approach of these complicated reciprocities are consistent. The pricing models of the causal compound real options may has analytic solution under some conditions, but, formation of the models of the parallel and correlative compound real options is conducted only with numerical methods. The no-arbitrage equilibrium pricing principlesand methods are the basal pricing principles and methods, but, decision-making tree method and stochastic dynamic programming method also are effective methods and tools for pricing compound real options.
Keywords/Search Tags:Compound real options, Complete market, No-arbitrage pricing, Stochastic dynamic programming
PDF Full Text Request
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