| High-tech risk investment project is a stage investment process, we put thisstage investment process as a stage compound option pricing. The current thesisbuilds compound option pricing model of high-tech projects in face of economicand technological uncertainties, the economic uncertainty is modeled as a Geo-metric Brownian motion, the uncertainty of the technology is modeled as a Pois-son jump process and technical failure means Poisson jump occurs. In traditionalcompound option model assumes Poisson jump amplitude, the Poisson failureprobability and volatility are assumed as constants the entire projects lifetime ofthe project, At frist, we assume that the Poisson jump amplitude is a random pro-cess in line with the lognormal distribution and then we assume that volatility andPoisson failure rate are non-random functions and the value of compound optionsare provided in close form solutions.As we all know§both volatility and risksof technology failure per unit of time will decrease as time passes by during thereal-life high-tech projects and what technical failure events do on the value ofthe project is also diferent.Therefore the popularization of this model will be ofgreater practical value. |
PDF Full Text Request