摘要
假定项目价值 ,初始投资支出随时间变化都服从几何布朗运动模型 ,投资机会投资只有有限的推迟时间 ,利用美式期权定价的 Monte Carlo模拟法 。
It is assumed that the value of project and initial investment expenditure follow geometric Brownian motions and the project investment time choice is finite. With Monte Carlo simulation for valuing American type option,the value of investment opportunity are computed,and followed are some discusses. The assumption is suitable for realities and makes the model not causing much error.
出处
《管理工程学报》
CSSCI
2000年第4期34-37,共4页
Journal of Industrial Engineering and Engineering Management
关键词
投资机会
美式期权
净现值
投资决策
Investment opportunity
american type option
Monte Carlo simulation
risk neutrality
net present value
