| 基于模糊集合论的实物期权定价方法 |
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| 引用本文： | 朱盛,刘中强.基于模糊集合论的实物期权定价方法[J].经济数学,2008,25(3). |
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| 作者姓名： | 朱盛 刘中强 |
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| 作者单位： | 河南理工大学数学与信息科学学院,焦作,454000 |
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| 摘 要： | 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.
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| 关 键 词： | 模糊集理论 实物期权 风险投资 |
THE METHOD OF PRICING REAL OPTION BASED ON FUZZY SET THEORY |
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| Zhu Sheng,Liu Zhongqiang.THE METHOD OF PRICING REAL OPTION BASED ON FUZZY SET THEORY[J].Mathematics in Economics,2008,25(3). |
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| Authors: | Zhu Sheng Liu Zhongqiang |
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| Institution: | Zhu Sheng,Liu Zhongqiang (College of Mathematic , information,Henan Polytechnic University,Jiaozuo,45400,China) |
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| Abstract: | Real option plays a significant role in the process of decision-making of risk investment.The traditional methods pricing for real option ignored uncertainty of the underlying asset and investment cost,when pricing real option,which probably leads to a mistaken investment decision.This paper makes research on the pricing model of real option when the valuation of underlying assets and investment cost are vague.It regards these uncertain elements as fuzzy number and fuzzy variant,prices real option using fuz... |
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| Keywords: | Fuzzy set theory real option risk investment |
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