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不确定条件下投资项目价值研究
引用本文:陈飞跃,龚海文.不确定条件下投资项目价值研究[J].经济数学,2012,29(2):66-72.
作者姓名:陈飞跃  龚海文
作者单位:1. 中南大学商学院,湖南长沙410083;保险职业学院,湖南长沙410114
2. 长沙理工大学数学与计算科学学院,湖南长沙,410114
基金项目:湖南省自然科学基金资助项目,湖南省教育厅科学研究项目资助
摘    要:在不确定条件下,决定了投资项目的最优规模;研究了风险需要补偿条件下的投资项目的价值;并将投资项目价值的评价模型推广到投资项目具有某一固定寿命和随机寿命的情形;同时探讨了具有指数随机寿命的投资项目的期权价值和投资的临界价格.

关 键 词:投资项目价值  几何布朗运动  最优投资规模  投资期权价值

Research on Value of Investment Project under Uncertainty
CHEN Fei-yue,GONG Hai-wen.Research on Value of Investment Project under Uncertainty[J].Mathematics in Economics,2012,29(2):66-72.
Authors:CHEN Fei-yue  GONG Hai-wen
Institution:1.Central South University School of Business,Changsha,Hunan 410083,China; 2.Insurance Professional College,Changsha,Hunan 410114,China;3.School of mathematics and Computational Science,Changsha University of Science and Technology,Changsha,Hunan 410114,China)
Abstract:The capacity of investment project was determined under uncertainty,and the value of investment project under risk compensation was researched.The evaluation model of investment project was generalized to include the situation of a fixed life or stochastic life of investment project,and the option value and citical price of investment project were discussed when the stochastic life of investment project follows exponential distribution.
Keywords:value of investment project  geometric Brownian motion  optimal investment capacity  value of investment option
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