预测
預測
예측
Forecasting
2006年
3期
23~27
,共null页
实物期权 竞争 价格带 价值
實物期權 競爭 價格帶 價值
실물기권 경쟁 개격대 개치
real option; competition; price band; value
由于忽视市场竞争对实物期权价值影响和对价格随机过程的不合理假设，无法合理评估项目价值。竞争对手的行动会影响实物期权的价值，标的资产价格实际上也不服从几何布朗运动。本文通过引入价格带的方法，探讨在完全独占和竞争性的情况下实物期权的价值变化情况，指出上述问题的存在会造成项目价值的高估和错误的决策。
由于忽視市場競爭對實物期權價值影響和對價格隨機過程的不閤理假設，無法閤理評估項目價值。競爭對手的行動會影響實物期權的價值，標的資產價格實際上也不服從幾何佈朗運動。本文通過引入價格帶的方法，探討在完全獨佔和競爭性的情況下實物期權的價值變化情況，指齣上述問題的存在會造成項目價值的高估和錯誤的決策。
유우홀시시장경쟁대실물기권개치영향화대개격수궤과정적불합리가설，무법합리평고항목개치。경쟁대수적행동회영향실물기권적개치，표적자산개격실제상야불복종궤하포랑운동。본문통과인입개격대적방법，탐토재완전독점화경쟁성적정황하실물기권적개치변화정황，지출상술문제적존재회조성항목개치적고고화착오적결책。
In the valuation of real options, researchers often neglected the effect of competition on the value of real options, and the price of the underlying asset often dose not follow a geometric Brownian motion, and researchers should consider the mean-reversion feature due to competition. In this paper we examine the difference of value of real optios under different conditions when the option is and is not proprietary to the firm by introducing price band. And we find real options will be overvalued if we neglect competition, leadirig to wrong decisions.
