Research Of Ship Investment Decision For International Shipping Companies Based On Fractal Options Model

As the most important means of production in an international shipping company, ships’investment has some remarkable characteristics, such as long payback period, volatility and large amount. So the pre-investment analysis of ship investment decisions can be directly related to the sustainable development of the shipping companies.As the traditional discounted cash flow method (DCF) just simply consider the time value of money, while ignoring its value at risk, which leads to more and more scholars began to introduce real options theory to calculate the value of financial risk. Because the concept of real options comes from the financial options, so many scholars use Black-Scholes pricing model, which is the classic model in financial options, to calculate the value of real options. But, the most important assumptions of B-S model is that the asset price volatility to be normally distributed, although this has been proven not consistent with reality. Therefore, this paper takes fractal distribution which has more universal significance to replace the normal distribution assumption, and then establish the fractal option pricing model. Next, this paper select the BDI index of 1999-2014 for empirical analysis to provide a more realistic basis for shipping enterprise in China.First, this paper introduce related theories of ship investment decisions, including real options theory and fractal theory. This can prove that introducing fractal distribution to real options theory for ship investment decisions have a more realistic sense theoretically. The third chapter analyses several important implications assumptions of B-S model, and then use fractional Brownian motion as assumption instead of Brownian motion to establish the fractal option pricing models.Because of the BDI can be viewed as asset prices Shipping Investment projects, so the fourth chapter select the BDI of 1999-2014 year to test its normality and fractal distribution characteristics. The results show the BDI does not obey normality distribution, but obey fractal distribution which the characteristic index isl.324. Then we can calculate that the Hurst index of the sample is0.755. To further study the impact of different assumptions on the value of the ship investment project risk, this paper sets a case of shipping enterprise A. In this case, this paper respectively use B-S pricing model and the fractal option pricing model which H index value is 0.755 to calculate the risk value of this project. It was found that the traditional B-S pricing model will always overestimate the actual value of the investment risk the ship, so that people will have blind confidence in the investment, increased investment risk.This paper first establish the accuracy of fractal risk option pricing model, and then selected the BDI of years 1999-2014 to calculate the value of the ship investments. Compared with the traditional B-S pricing model, this will help us to improve the accuracy of domestic shipping investment decision. Thereby reducing the probability of blind investment, so this paper has a certain theoretical and practical significance.