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运用滤波理论,随机控制理论和消费效用无差别定价原理,建立基于部分信息的非完备市场有对冲机会的实物投资回报一次性支付的期权定价模型.通过求解具有自由边界条件的高维偏微分方程,推导出期权的隐含价值和投资最优执行边界,确定了投资,消费及资产分配的最优决策,并详细讨论了投资回报波动风险,平均回报率估计偏差风险以及资产相关系数对实物期权的隐含价值以及隐含信息价值的影响.模型和结论对实物投资项目的估值和资产管理具有一定参考价值.
This paper establishes a one-time option pricing model with hedging chance and hedging opportunity by using the theory of filter theory, stochastic control theory and the nondiscriminant pricing method of consumer utility.By solving the high-dimensional partial differential equation with free boundary conditions , Deduces the implied value of the option and the optimal execution boundary of the investment, determines the optimal decision of the investment, consumption and asset allocation, and discusses in detail the risk of investment return volatility, the risk of the average rate of return estimation bias and the correlation between the asset correlation coefficient and the real option Implied value and implied value of information.The model and conclusion have certain reference value to the valuation of real investment projects and asset management.