Application of Compound Option Theory for Evaluating Multi-Stage Investment Project

摘要：

Considering the risk of the market and the technology, investors tend to make a multi-stage investment. The traditional discounted cash flow method (DCF) overlooks the value of option in a project and do not reflect the real value of the project. This paper analyzes the characteristics of a multi-phase investment, i.e. the multi-stage compound option and expounds pricing model in n-fold compound option .Finally the model is proved to be valid through a case of multi-stage investment. This paper provides a new viewpoint and method for evaluation of a multi-stage investment project.

关键词： Multi-stage Investment Compound Option Pricing Model

作者: Chen Huili

作者单位: School of Economics and Management, Southeast University, Nanjing, P.R.China, 211189

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）