Research On The Real Deferral Option Under The Assumption Of Variable Exercise Price

Compared with the developed countries, option of China is still in the primary stage, not only in the fundamental research but also in the practical application, and a very large disparity exists. Although in recent years, the option research, especially the real option research had some developments, but the study of fixed pricing method which is more reasonable combining with the practical application is deficient. The majority researches only used mechanically the model which had existed, but didn't consider the option application reality.Option pricing theory is one of the greatest discoveries in finance in the 20th century. Its principle, method and conclusion can be applied to many economic and management fields. The real option theory which is regarded as the development of option theory in the investment, not only has greatly developed the option theory connotation, but also has provided the brand-new analysis mentality for the enterprises, individual investment appraisal. Therefore, applying the real option pricing theory and its practical application to research has important theory value and practical significance.This article attempts to introduce the real option's "exercise price" --the starting fund of investment plan, and this variable through the reasonable actual hypothesis to the real option pricing model, considering this fund having variable from time to time, and discusses the model numerical solution as well as the correlation question under this hypothesis. The main points of this paper are as follows: Firstly, it introduces the real option theory including its conception, types, pricing methods, application steps, and so on. Secondly, it introduces the real deferral option's characters at large and gives the proof process. Thirdly, it infers the real deferral option pricing model under the price invariable hypothesis and proves the model's free boundary nature under the same hypothesis, then obtains the model numerical solution and its process using the "Slicing Method". Fourthly, it attempts to apply the price invariable hypothesis to in the financial option, derives the model, and uses the "finite difference" method to give the numerical solution. Fifthly, it discusses one of the price model's essential factors-- implied volatility, then attempts to use the Dupire -method and the optimum control method to solve the implied volatility problem which exists in the option pricing model.The work of this paper will be helpful to solve the problems when venture capital decision-making needs to consider, and also will make the assessment method using real option more accurate and more feasible. Thus it may enable individual, enterprise's investment policy-makers to use the market information fully, and carry out a more accurate appraisal to the venture capital project value and the risk, then promote our country project investment enterprise development with respect to the microscopic mechanisms.