項目投資定價與擇時理論研究.pdf

1、學校代號。!Q531分類號⑨瀚角夫事HUNANUNIVERSITY博士學位論文掌號旦121Q密級項目投資定價與擇時理論研究學位申請人姓名培養(yǎng)單位導師姓名及職稱學科專業(yè)研究方向論文提交曰期鹽匹蘊。王壹鱉壅警醫(yī)奎拯丞熬攫筐理整堂生王捏亟墾鱉堡～2QQ至2旦!目項整投資定價與擇時理論溪究AbstractInthispaper，weattackthenewestproblemsoninvestmentunderuncertaintySevera

2、lframeworksaredevelopedindetailandonecasestudyisalsoshownforthepurposeofapplicationAccordingtoutilityindifferencepricesandtheideasfromrealoptionpricing，weturnonthevaluationandtimingoftheoptiontoinvestunderuncertaintyandw

3、ithoutaperfectspanningassetFirstly，wereviewtwoclassicalapproachesofinvestmentunderuncertainty：thewellknownmodelsofMcDonaldandSiegel(1986)andDixitandPindyck(1994)，whichvaluetheinvestmentdecisionasaperpetualAmericancallopt

4、ionontheprojectvalueHowever，thecompletemarketinDixitandPindyck(1994)isatheoreticalsettingwhichoftencannotbefoundinpractice，andMcDonaldandSiegel(1986)doesnotrecognizesprivaterisksThus，weassumethemarketsareincompleteandrec

5、ognizeprivaterisksbyutilityfunctionUtilizingstochasticdynamicprogrammingandutilityindifferenceprices，weobtainthemethodsofhowtovalueandtimetheinvestmentopportunityFirstly，weassumeutilityisexponentialandcashflowsofaproject

6、followalognormalprocesswithupperbarrierwithoutaperfectspanningassetWedealwithproblemsoftimingandvaluationoftheprojectBymakinguseofstochasticcontroltheoryandane、vverification，explicitsolutionsarederivedtoboththevalueandti

7、mingoftheoptiontoinvestSecondly，Weproposeanewmodelforthecash—flowofaproject，anexponentialmean—revertingprocess，inwhichthereismuchevidenceinpracticeWealsoacquiretheexplicitsolutionsbyournewmethodsandsolvingapartialdiffere

8、ntialequationsuccessfullyThirdly，weassumeutilityisafunctionwiththeconstantandrelativeriskaversioncoefficientsSomeresultsarederivedaboutthevalueandtimingoftheoptiontoinvestWeconcludethatboththepricingandtimingarepertinent

9、totheinvestor’SamountofwealthincontrasttotheexponentialsituationFourthly，weexploreanapplicationinapracticalprojectBymeansoftheMatlabsoftware，wediscusstheeffectsofvariedcombinationofparametersonthepricingandtimingviacompa