摘要
假设项目期权标的资产服从几何均值回复过程,利用效用无差别定价原理,对非完备市场条件下的企业项目期权进行定价。得到了非完备市场下项目期权的的价格所满足的微分方程,即自由边界的二阶非线性常微分方程,并且对项目期权价格关于相应的参数进行了比较静态分析。结果表明项目期权的价格会随着风险厌恶系数的增加而减小,随着相关系数的增加而增大,随着项目标的资产波动率的增加而增大。特别地,随着均值回复速度的增加,项目期权的价格呈现出先增大后减小的趋势。
Assuming that the underlying asset of the project follows a geometrical Mean-reversion process,based on the consumption-utility indifference pricing principle,we explore the pricing problem of a corporate project option under an incomplete market circumstance.Further,we derive the pricing equation of the project option,which is a second order nonlinear ordinary differential equation with the free boundary conditions;in the meanwhile we give some numerical examples.The research suggests that the price of the project option is decreasing when the risk aversion coefficient is increasing,also the price will increase to accompany with both the volatility of the underlying asset of the project and the correlation coefficient.Especially,we find that the price of the project option presents a trend which fist increases and then decreases when the rate of mean-reverting is increase.
出处
《系统工程》
CSSCI
CSCD
北大核心
2014年第4期117-123,共7页
Systems Engineering
关键词
均值回复过程
项目期权
效用无差别定价
投资消费
Mean-reverting Process
Project Option
Consumption-utility Indifference Pricing
Investment and Consumption
