AN OPTION PRICING MODEL UNDER FUTURE REVENUE UNCERTAINTY

被引：0
|
作者：
Xue MinggaoDept.of Math.
机构：
来源：
Applied Mathematics:A Journal of Chinese Universities | 2003年 / 03期
基金：
中国国家自然科学基金;
关键词：
Real-option; managerial flexibility; stochastic control; Bellman equation;
D O I：
暂无
中图分类号：
F224.1 [经济控制论、系统论、信息论];
学科分类号：
0701 ; 070104 ;
摘要：
The purpose of this paper is to discuss how the value of high-tech firm can be rationally valued by taking into account managerial flexibility when its future revenue is uncertain,thereby the firm’s manager can make rational investment decisions.Using stochastic control theory,the paper will present that the firm’s value satisfies a partially differentiate equation,and analyze the managerial flexibility value within a framework of real-option analytic theorey.Finally,the comparative static analysis and the model’s simple application are given.
引用
收藏
页码：311 / 317
页数：7
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