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| 决策依赖不确定条件下基于复合实物期权估值的工程系统投资决策研究 | |
| 引用本文： | 赵滟,李金林,冉仑,李美华.决策依赖不确定条件下基于复合实物期权估值的工程系统投资决策研究[J].数学的实践与认识,2013,43(6):118-127. |
| 作者姓名： | 赵滟 李金林 冉仑 李美华 |
| 作者单位： | 1. 北京理工大学管理与经济学院,北京100081;中国航天系统科学与工程研究院系统工程研究部,北京100048 2. 北京理工大学管理与经济学院,北京,100081 3. 北京石油机械厂顶驱中心,北京,100083 |
| 摘 要： | 不确定性是复杂工程系统的内在属性,在决策依赖不确定条件下对工程系统的投资决策需考虑不确定性与决策过程之间的交互作用,使得投资决策问题的求解非常困难.提出了决策依赖不确定条件下复合实物期权估值的最小二乘模拟算法,方法较好地解决了在决策依赖不确定条件下由于不同期权价值相互耦合所带来的计算复杂性,进一步拓展了最小二乘模拟算法在期权估值中的应用,基于该方法,可以比较方便地解决决策依赖不确定条件下工程系统投资决策问题. |
| 关 键 词： | 决策依赖不确定性 复合实物期权 工程系统 投资决策 |
Investment Decision-making of Engineering Systems Based on Compound Real Options Evaluation under Decision-dependent Uncertainty |
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| ZHAO Yan , LI Jin-lin , RAN Lun , LI Mei-hua.Investment Decision-making of Engineering Systems Based on Compound Real Options Evaluation under Decision-dependent Uncertainty[J].Mathematics in Practice and Theory,2013,43(6):118-127. | |
| Authors: | ZHAO Yan LI Jin-lin RAN Lun LI Mei-hua |
| Institution: | 1.School of Economics and Management,Beijing Institute of Technology,Beijing 100081,China) (2.Department of Systems Engineering,China Academy of Aerospace Systems Science and Engineering,Beijing 100048,China) (3.Top Driver Center,Beijing Petroleum Machinery Factory,Beijing 100083,China) |
| Abstract: | Uncertainty is an inner attribute of complex engineering systems.Under decisiondependent uncertainty,the investment decision-making of engineering systems should take into account the interaction between uncertainty and the decision process.This thesis puts forward the least square simulation algorithm for compound real options under decision-dependent uncertainty,which satisfactorily resolves the computing complexity caused by the coupling between different options and thus expands the application of least square simulation in the area of options evaluation.Based on the method posed by this thesis,the investment decisionmaking problem under decision-dependent uncertainty can be resolved conveniently. |
| Keywords: | decision-dependent uncertainty compound real options engineering systems investment decision-making |
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