CAJ | 학술논문

船舶作为航运企业最重要的生产资料，其前期的投资决策分析至关重要.一直以来，船舶投资风险价值的计算是困扰人们的问题之一，实物期权理论与B-S定价模型的发展为其提供了一个解决办法.但B-S定价模型中最重要的假设条件是资产价格波动符合正态分布，这与现实差距较大.本文以分形分布条件代替B-S定价模型中正态分布的假设，建立起分形期权定价模型，并利用BDI价格指数进行实证分析.结果证明BDI对数收益率序列的H指数大于0.5，说明BDI收益具有较强记忆性，呈现尖峰胖尾特征.在此条件下，以传统B-S定价模型计算出的船舶投资实物期权价值大于分形期权价值，说明其高估了船舶投资的管理柔性价值，这会使投资者产生盲目乐观心理，进而增大投资决策风险.
선박작위항운기업최중요적생산자료，기전기적투자결책분석지관중요.일직이래，선박투자풍험개치적계산시곤우인문적문제지일，실물기권이론여B-S정개모형적발전위기제공료일개해결판법.단B-S정개모형중최중요적가설조건시자산개격파동부합정태분포，저여현실차거교대.본문이분형분포조건대체B-S정개모형중정태분포적가설，건립기분형기권정개모형，병이용BDI개격지수진행실증분석.결과증명BDI대수수익솔서렬적H지수대우0.5，설명BDI수익구유교강기억성，정현첨봉반미특정.재차조건하，이전통B-S정개모형계산출적선박투자실물기권개치대우분형기권개치，설명기고고료선박투자적관리유성개치，저회사투자자산생맹목악관심리，진이증대투자결책풍험.
As the most important means of production, the early investment decision analysis of ships is vital to shipping company. All along, the calculated of investment risk value of the ship is one problem plagued to people. The development of real options theory and B-S pricing model provide a solution, but the most important assumption of B-S pricing model is that asset price volatility in line with the normal distribution which has a large gap between realities. The fractal option pricing model is established, and the fractal distribution assumption is chose in lieu of the normal assumption in B-S pricing model. Then the BDI index is used as empirical analysis. The result shows that H index of BDI logarithm yield sequence is greater than 0.5. On this condition, the ship investment real option value based on traditional B-S pricing model is greater than the fractal options value. This proves that B-S pricing model overestimate the real risk value of ship investment. Finally investors are prone to have psychological of blind optimism and increasing investment risk.