本文關鍵詞：關于一類具有隨機跳幅度的科技項目復合期權定價模型的研究　出處：《河北工業(yè)大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 科技項目 研發(fā) 復合期權 擴散過程 跳擴散過程 隨機跳幅度

【摘要】：科技項目研發(fā)的風險投資往往是一個n階段的投資過程,我們可以把這個n階段的投資過程比成n階段的復合期權。本文構建了一個面臨經濟和技術雙重不確定性的科技項目復合期權風險投資定價模型,將經濟方面的不確定性建模為幾何布朗運動,將技術方面的不確定性建模為泊松跳過程,技術失敗發(fā)生意味著泊松跳發(fā)生,經典的復合期權模型中假設泊松跳的幅度、泊松失敗概率和波動率在項目的整個周期內都是常數(shù),本文首先將泊松跳的幅度推廣為一個符合對數(shù)正態(tài)分布的隨機變量,然后假設波動率和泊松失敗率為依賴于時間的非隨機函數(shù),并分別導出了復合期權價值的閉式解。因為現(xiàn)實中隨著時間的推移,項目價值的波動率往往有所減小,單位時間內技術失敗事件發(fā)生的概率也會下降,并且技術失敗事件對項目價值的影響也是不相同,所以這種推廣具有更好的現(xiàn)實指導意義。
[Abstract]:The venture capital of R & D of science and technology projects is usually an n-stage investment process. We can compare the investment process of this n-stage to the compound option of n-stage. In this paper, we construct a venture capital pricing model of the compound option of science and technology project which faces the double uncertainty of economy and technology. The economic uncertainty is modeled as geometric Brownian motion, and the technical uncertainty is modeled as Poisson jump process. The classical composite option model assumes that the Poisson jump amplitude, Poisson failure probability and volatility are constant throughout the project cycle. In this paper, we first generalize the amplitude of Poisson's jump to a random variable with logarithmic normal distribution, and then assume that volatility and Poisson's failure rate are time-dependent non-random functions. The closed solution of the value of composite option is derived, because in reality, the volatility of project value decreases with time, and the probability of technical failure in unit time also decreases. And the impact of technology failure on project value is also different, so this promotion has better practical significance.
【學位授予單位】：河北工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F830.9;O211.6

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相關期刊論文 前1條

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本文編號：1408187