| 不确定性、实物期权与企业价值—基于简约Schwartz-Moon模型的分析 |
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| 引用本文： | 郑建明,范黎波. 不确定性、实物期权与企业价值—基于简约Schwartz-Moon模型的分析[J]. 数学的实践与认识, 2008, 38(5): 42-48 |
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| 作者姓名： | 郑建明 范黎波 |
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| 作者单位： | 北京对外经济贸易大学,国际商学院,北京,100029 |
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| 摘 要： | 将实物期权理论引入传统现金流量折现法的应用框架,在不确定性条件下运用实物期权定价法来评估企业价值,提出了简约的Schwartz-Moon(2001)实物期权定价模型,并在此基础上运用蒙特卡罗模拟方法来计算了百度公司的价值.
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| 关 键 词： | 实物期权 价值评估 蒙特卡罗模拟 |
| 修稿时间： | 2007-10-17 |
Uncertainty,Real Option and Firm Value:Analysis Based on Simple Schwartz-Moon Model |
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| ZHENG Jian-ming,FAN Li-bo. Uncertainty,Real Option and Firm Value:Analysis Based on Simple Schwartz-Moon Model[J]. Mathematics in Practice and Theory, 2008, 38(5): 42-48 |
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| Authors: | ZHENG Jian-ming FAN Li-bo |
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| Abstract: | This thesis applies Real Option theory into the framework of traditional Discounted Cash Flow method,in order to discuss how to conduct an enterprise valuation for companies under uncertainty.In the process of valuation based on the simplified Schwartz & Moon(2001) model,this paper simulates the company Baidu.Com′s value by Monte Carlo simulation method. |
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| Keywords: | real option valuation monte carlo simulation |
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