The Application Of Bootstrap In Real Option Pricing

The economic and social strides forward, the defect of traditional NPV method is known that it is not able to meet the investor's demand today. Real option method is arousing great attention of the majority investors which was born in this case. The precondition of real option method is real option pricing, the method of real option is based on the pricing of real option. So it is particularly important to fix a price of real option.Consider the existence of common aspects and substantial differences between real options and financing options, the paper used an ordinary real option pricing method, in the way of reforming the financing options model to fix the price of real option. With the statistical methods----ootstrap, solve the problem of lacking data for reference of real option, using non-parametric model pushed to the value of real option. The paper have tested the projects of one geotechnical investment in Kunming using comparison method, and have fixed the optimal method of real option pricing through comparing the result of MATLAB'calculating.The subject matter was mainly divided into three parts:Firstly, chapter 1,2,3. Chapter 1 have made a brief overview of real option pricing theory on the aspect of research development process, practical significance and research status, listed the framework and content of the subject. Chapter 2 have made a detailed explanation of bootstrap theory and have listed formula of relating parameters. The core aspect of Chapter 3 have explained the theory and method of non-parameters model (kernel function law and nearest neighbor function law),combined bootstrap law with non-parameters method to fix the price of real option.Secondly, chapter 4, using cash flows and volatility as arguments, comparing with different means, respectively with variance, expectation, deviation and square of variance add deviation, worked out the best results, and using MATLAB software to draw out the effect figure. Similarly, using comparison method with binomial method and expectation method specified the optimal executive time of real option.At last, the fifth chapter summed up the subject and pointed out advantages and shortcomings of the method and the future development of real option pricing.