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本文假设投资项目价值服从多突发事件的跳跃-扩散过程,构建美式实物期权基于最小二乘蒙特卡罗模拟算法的定价模型,并用实例验证模型的有效性。实证结果表明,跳跃导致期权价值的降低,并且期权价值随着跳跃幅度的加大而加速降低;期权价值的降低和跳跃方向没有关系;忽略跳跃或将多突发事件归结为单一跳跃严重低估了投资项目的真实价值。
This paper assumes that the value of investment projects obeys the jump-diffusion process of multiple emergencies and builds a pricing model based on the least-squares Monte Carlo simulation algorithm of American real options. The validity of the model is verified by an example. The empirical results show that the jump leads to the decrease of the option value, and the option value accelerates with the increase of the jump rate. The decrease of the option value has nothing to do with the jump direction; ignoring the jump or reducing the multiple sudden events to a single jump seriously underestimates The true value of investment projects.