[1] He Qizhi, He Jianmin,. Real option pricing method for R&D investmentunder changing risk-free rate and discount rate [J]. Journal of Southeast University (English Edition), 2008, 24 (1): 119-123. [doi:10.3969/j.issn.1003-7985.2008.01.026]

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Real option pricing method for R&D investmentunder changing risk-free rate and discount rate()

无风险利率和折现率变化时的R& D投资实物期权方法

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Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:

24

Issue:

2008 1

Page:

119-123

Research Field:

Economy and Management

Publishing date:

2008-03-30

Info

Title:

Real option pricing method for R&D investmentunder changing risk-free rate and discount rate

无风险利率和折现率变化时的R& D投资实物期权方法

Author(s):

He Qizhi^{1, 2}, He Jianmin¹

¹School of Economics and Management, Southeast University, Nanjing 210096, China
²School of Statistics, Anhui University of Finance and Economics, Bengbu 233030, China

何启志^{1, 2}, 何建敏¹

¹东南大学经济管理学院, 南京 210096; ²安徽财经大学统计学院, 蚌埠 233030

Keywords:

risk-free interest rate;  discount rate;  polynomial spline;  real option

无风险利率;  折现率;  多项式样条;  实物期权

PACS:

F830

DOI:

10.3969/j.issn.1003-7985.2008.01.026

Abstract:

The polynomial spline model, which belongs to the static term structure model of interest rates, is studied.Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates.A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula.Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.

研究了利率期限结构静态模型中的多项式样条模型, 并在此基础上得到折现率估计模型, 从而对项目各期现金流进行相对准确的折现计算.研究了利率期限结构动态模型中的一个简单的基本模型, 并将其纳入到期权定价公式中, 得到利率动态变化下的期权定价公式.分别利用我国银行间回购利率数据、上海证券交易所数据估计出我国利率动态基本模型和静态多项式样条模型, 给出一个实例对传统实物期权定价方法和考虑无风险利率、折现率变化时的实物期权定价方法进行了比较.

References:

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Memo

Memo:

Biographies: He Qizhi(1974—), male, graduate;He Jianmin(corresponding author), male, professor, nj.jian@public1.ptt.js.cn.
Foundation items: The Achievements of Young Fund Project of Humanities and Social Science of Ministry of Education(No.07JC790028), the National Natural Science Foundation of China(No.70671025).
Citation: He Qizhi, He Jianmin.Real option pricing method for R& D investment under changing risk-free rate and discount rate[J].Journal of Southeast University(English Edition), 2008, 24(1):119-123.

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