| 风险投资的多阶段复合实物期权定价方法 |
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| 引用本文： | 吴金美,金治明,凌晓冬.风险投资的多阶段复合实物期权定价方法[J].数学的实践与认识,2010,40(9). |
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| 作者姓名： | 吴金美 金治明 凌晓冬 |
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| 摘 要： | 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.
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| 关 键 词： | 多阶段 复合期权 实物期权 |
The Pricing Method of Multi-stage Compound Real Option in Venture Capital |
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| WU Jin-mei,JIN Zhi-ming,LING Xiao-dong.The Pricing Method of Multi-stage Compound Real Option in Venture Capital[J].Mathematics in Practice and Theory,2010,40(9). |
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| Authors: | WU Jin-mei JIN Zhi-ming LING Xiao-dong |
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| Abstract: | The pricing model of multi-stage compound real option is established considering the multi-stage continuity of venture capital in this paper.The pricing formula is deduced using conditional expectations and matrix properties.This method can be applied for evaluation and decision of risk investment project. |
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| Keywords: | multi-stage compound option real potion |
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