An option pricing model under future revenue uncertainty

被引：0
|
作者：
Minggao Xue
机构：
[1] Huazhong Univ. of Sci. and Tech.,Dept. of Math.
来源：
Applied Mathematics-A Journal of Chinese Universities | 2003年 / 18卷 / 3期
关键词：
90A12; 49L25; Real-option; managerial flexibility; stochastic control; Bellman equation;
D O I：
10.1007/s11766-003-0056-8
中图分类号：
学科分类号：
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：6
相关论文
共 50 条
  • [1] AN OPTION PRICING MODEL UNDER FUTURE REVENUE UNCERTAINTY
    Xue MinggaoDept.of Math.
    Applied Mathematics:A Journal of Chinese Universities, 2003, (03) : 311 - 317
  • [2] Research on Option Pricing Model under Uncertainty
    Zhang, Kunlong
    Song, Lixia
    APPLIED SCIENCE, MATERIALS SCIENCE AND INFORMATION TECHNOLOGIES IN INDUSTRY, 2014, 513-517 : 3156 - 3159
  • [3] Option pricing under model and parameter uncertainty using predictive densities
    Bunnin, FO
    Guo, Y
    Ren, Y
    STATISTICS AND COMPUTING, 2002, 12 (01) : 37 - 44
  • [4] Option pricing under model and parameter uncertainty using predictive densities
    F. O. Bunnin
    Y. Guo
    Y. Ren
    Statistics and Computing, 2002, 12 : 37 - 44
  • [5] Pricing under uncertainty: Forward and option pricing in sports markets
    Sainam, Preethika
    Balasubramanian, Sridhar
    Bhattacharya, Shantanu
    Ong, L. Lin
    JOURNAL OF BUSINESS RESEARCH, 2023, 167
  • [6] Model Uncertainty and Pricing Performance in Option Valuation
    Bams, Dennis
    Blanchard, Gildas
    Lehnert, Thorsten
    JOURNAL OF DERIVATIVES, 2019, 27 (02): : 31 - 49
  • [7] OPTION PRICING UNDER THE KOBOL MODEL
    Chen, Wenting
    Lin, Sha
    ANZIAM JOURNAL, 2018, 60 (02): : 175 - 190
  • [8] Optimal Stopping with Model Uncertainty and Pricing the American Option
    Zhao, Guoqing
    2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS, 2009, : 329 - 332
  • [9] The future of pricing and revenue models
    Ng, Irene C. L.
    JOURNAL OF REVENUE AND PRICING MANAGEMENT, 2010, 9 (03) : 276 - 281
  • [10] Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty
    Zhang, Hui
    Meng, Wenyu
    ADVANCED MATERIALS AND INFORMATION TECHNOLOGY PROCESSING, PTS 1-3, 2011, 271-273 : 675 - 678
12345