Pricing of Mixed Compound Real Options

摘要：

The composition and mutual relations among real options in the project life cycle are extremely complex, and the existing models of real options cant well describe the interrelated management flexibility. Therefore, this paper puts forward the new classification for compound real options, gives the concept of mixed compound real options, and studies the interactions among the constituents and their pricing. The research holds that the basic relations among real options are the string, OR, and AND, which are key to the pricing of different types of mixed compound real options, and the biggest pricing difference between mixed compound real options and a single real option is in their underlying assets. Finally, the pricing method is illustrated by a case.

关键词： Real Options Option Pricing Investment Project

作者: Duan Shixia Wang Zhaoyang Hu Wenxiu

作者单位: School of Management Engineering, Zhengzhou University, Zhengzhou, P.R.China, 450001 Faculty of Business Administration, Xian University of Technology, Xian, P.R.China, 710054

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）