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风险投资具有巨大的不确定性和风险性,风险投资主体对投资金融工具和退出方式的选择直接影响投资成败.为了分析风险投资中退出方式和金融工具选择问题,本文基于不同退出方式对参加分配可转换证券构建了混合实物期权模型,利用该模型比较研究了一般可转换证券和参加分配可转换证券,证明了参加分配可转换证券的使用将使风险投资主体在首次公开上市和收购两种退出方式中更倾向于后者的结论,并得出了参加分配可转换证券给风险投资主体带来的风险收益. 相似文献
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针对传统NPV方法应用于风险投资退出决策的局限,本文利用实物期权理论,将可观测的利润流作为内生变量,建立了风险投资的最优退出决策模型,通过模型求出了不同退出方式条件下的实物期权价值和退出时机的临界值,并用实例进行了说明,有效地解决了风险投资的退出方式的选择问题,使得风险投资的退出决策过程更具操作性和现实性。 相似文献
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实物期权的定价在风险投资决策过程中具有重要意义.传统的实物期权定价方法忽略标的资产价值和投资成本的模糊性,从而可能导致错误的投资决策.本文主要研究了具有模糊标的的资产价值和投资成本情形时的实物期权定价模型.文中将这些模糊因素分别视为模糊数和模糊变量,然后运用模糊集合论,结合B-S期权定价理论,对实物期权进行定价,得到了基于模糊集合论的实物期权定价模型. 相似文献
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设计了一个基于能力期权契约的应急物资采购模型,政府作为唯一的采购方期初向一个合约供应商采购实物储备量,并向供应商购买一定量的生产能力期权,一旦在期权执行期内有应急物资需求发生,可立即将供应商储备的生产能力转化为实物产品.通过推导和算例模拟证明,这样的采购机制在大量减少政府应急物资实物储备量的同时,降低了政府的缺货风险.同时,也合理补偿了灾后供应商被安排突击生产应急物资发生的成本,应急物资供应链实现了协调,供和需双方实现了双赢. 相似文献
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PPP项目通常实施周期长,风险突出。传统的实物期权评价方法考虑了未来的不确定性和管理者柔性的价值,但是一般假设无风险利率是固定的,不符合利率长期内波动的特点,会造成投资者决策失误。本文考虑了未来无风险利率波动条件下,PPP项目中实物期权的价值。首先分析了PPP项目中通常存在的期权形式,其次研究了无风险利率三角逆变函数以及在此基础上得出模拟实物期权模型,并用案例对比分析固定利率和随机利率下的期权价值。结果显示,随机利率比固定利率下的期权价值更高,研究结论可以为PPP项目的投资者进行决策提供重要依据。 相似文献
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风险投资的多阶段复合实物期权定价方法 总被引:2,自引:0,他引:2
根据风险投资的多阶段连续性,建立多阶段复合实物期权定价模型,并利用条件期望和矩阵性质推导出该期权的定价公式,定价方法可用于风险投资项目的评估和决策. 相似文献
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汇率连动期权是一种未定权益,其投资者不得不同时规避国外股票和外汇价格变动的风险.本文讨论两种汇率连动期权:一种汇率期权,连动国外股票价格的变化;一种写在国外股票上的固定汇率期权,在到期的时候,利用预先约定的汇率将期权的价值转换为国内的货币价值.在利率和汇率同时随机的情况下,本文得到了这两种看涨期权价格的精确解.更进一步,通过得到看涨-看跌期权的平价公式,本文也获得了看跌的汇率连动期权的价格. 相似文献
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In this paper we develop the partial adjustment valuation approach in which the speeds of (partial) adjustment are assumed to be dynamic and variable, rather than fixed or constant, to assessing the value of information technology (IT). The speeds of adjustment are a function of a set of macroeconomic and/or microeconomic variables, observed and unobserved and, hence, become time-varying or dynamic and variable over time. The approach is illustrated by a practical application. The results imply that the constant speeds of adjustment may overestimate or underestimate the actual speeds of adjustment and, accordingly, may miscalculate the values of performance metrics. Thus, the partial adjustment valuation approach with dynamic and variable speeds of adjustment is more realistic and, more importantly, captures the changing patterns and trends of the adjustment speeds and the performance measures as well. As such, the partial adjustment valuation approach with constant speeds of adjustment fails to adequately explain the dynamic production process of a decision making unit. The empirical evidence also conflicts with the lopsided view that the productivity paradox does not exist in developed countries. 相似文献
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Winston T. Lin Yueh H. Chen TingShu Hung 《European Journal of Operational Research》2019,272(2):766-779
This paper extends previous studies to develop a partial adjustment valuation (PAV) approach in which the speeds of partial adjustment are assumed to be stochastic and dynamic over time in measuring and evaluating the values of information technology and others (e.g., e-commerce or EC, brand name, etc.). A practical application is presented to demonstrate the application of the proposed PAV approach and it is compared to the other two existing PAV approaches. 相似文献
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Credit valuation adjustment is the price adjustment
of financial contract considering possible default of counterparty and it
is an important way to measure counterparty risk. It is the key to establish
a reasonable default dependence structure model. We introduce an economic
state variable and shot noise processes in a Markov copula model and establish
a regime switching Markov copula model with shot noise, where we can not
only describe the impact of common economic conditions characteristics but
also describe the credit name's characteristic. In this proposed model, we
study martingale property of the model and the collateralized CVA of credit
default swaps, and furthermore, we perfer some numerical calculations on
the collateralized CVA and examine the impact of some model parameters on
the CVA. 相似文献
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Yinghui Dong Guojing Wang Kam C. Yuen 《Methodology and Computing in Applied Probability》2014,16(3):643-673
In this paper, we study the counterparty risk on a CDS in a common shock model. We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk. Especially, we consider the pricing problem of credit default swap with counterparty risk under a common shock model with regime switching. The arrivals of the shock events are modeled by conditionally independent Cox processes whose stochastic intensities depend on the state of the economy described by a Markov chain. We give the explicit formula for the credit valuation adjustment (CVA) and examine the impact of the change of economic state on the CVA. 相似文献
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Coordinating a decentralized supply chain with customer returns and price-dependent stochastic demand using a buyback policy 总被引:1,自引:0,他引:1
We investigate a decentralized supply chain that consists of a manufacturer and a retailer where the retailer simultaneously determines the retail price and order quantity while experiencing customer returns and price dependent stochastic demand. We propose an agreement between the manufacturer and the retailer that includes two buyback prices, one for unsold inventory and a second for customer returns, and show that this type of easy-to-implement agreement can achieve perfect supply chain coordination and be a win-win for both manufacturer and retailer when a complementary profit-sharing agreement is included. 相似文献
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业绩补偿承诺制度的初衷是降低估值溢价,引入盈利预测增长率探究其对定增并购双价格偏离的影响机理进而揭示制度发挥作用的路径。采用层级回归分析表明:业绩补偿承诺对双价格偏离具有正向影响,对盈利预测增长率具有负向影响;盈利预测增长率对双价格偏离具有正向影响,其在业绩承诺与价格偏离之间的作用机制呈现出“遮掩效应”;进一步分析发现,业绩补偿承诺对定增并购绩效具有价值促进作用,并提升了并购双方互利共赢的空间,大股东因业绩承诺所获得的高价格偏离是价值补偿的体现。研究结果丰富和拓展了业绩补偿承诺和双价格偏离的相关研究,对制度的合理安排及契约价值的发挥具有重要的意义。 相似文献
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买断销售指的是销售商和制造商就某产品在一定区域内达成协议,销售商以买断价格从制造商处采购一定数量的产品,然后由销售商对产品进行定价对外销售.制造商通过采取买断销售实现了对产品的促销.在现实背景的基础上,分析了制造商应该在何时采取买断销售方式,以及买断策略下相应的决策问题.找到了制造商采取买断策略的条件,以及该策略下最优买断价格和买断数量决策,并发现在制造商的最优决策下,制造商和销售商能够实现双赢. 相似文献
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In Part 1 of the paper, using habitual domains theory and finite Markov chain theory, we have introduced a new model for describing
the evolution of the states of mind of players over time, the two-person second-order game. The concepts of focal mind profile as well as the solution concept of win-win mind profile have been introduced as solution concepts for these games. In Part 2 of the paper, we address the problem of restructuring
a game where the focal profile (1,1) is not reachable or is not a win-win profile into a game where the profile (1,1) is a
reachable win-win profile. Precisely, under some reasonable assumptions, we derive the possibility theorem that it is always possible to reach a win-win mind profile in a two-person second-order game. Moreover, we provide practical
operations for restructuring games for reaching a win-win profile.
This research was partially supported by the National Science Council, Taiwan, NSC96-2416-H009-013. 相似文献