无风险利率变化时的实物期权定价方法研究

在现有的实物期权定价模型中,作为折现率的无风险利率被视为常数不发生变化,但实际上由于实物期权的到期时间较长而且不一定固定不变,作为折现率的无风险利率也并不总是固定的,而有可能发生变化.因此,研究无风险利率变化时的实物期权定价方法具有重要的理论意义和现实意义.本文正是考虑到这一点,首先假设无风险利率的变化服从Ornstein-Uhlenbeck随机过程,得到无风险利率变化时的实物期权定价公式,然后放松假设条件用Cox的利率均衡模型重新描述无风险利率的运动形式后,又对上述定价公式进行了修正,在此基础上本文给出一个数字实例对传统实物期权定价方法和考虑无风险利率变化时的实物期权定价方法进行比较.

On Real Option Pricing Method under Changing Risk-Free Rate

In the existing real option pricing model,risk-free interest rate as the discount rate is regarded as constant and does not change.But in fact,since the maturity term of real options is relatively long and is not definitely fixed,the risk-free interest rate as discount rate is not always fixed either.And it has the possibility to change.Therefore it has great theoretical and practical significance to study the real option pricing when risk-free interest rate changes.In this paper we consider this situation and firstly assume that the change of risk-free interest rate obeys to Ornstein-Uhlenbeck stochastic process and has educed the real option pricing formula when risk-free interest rate changes.Then we relax the assumption and use Cox's equilibrium model to depict the moving pattern of risk-free interest rate again and modify the pricing formula that we have educed before.Then we give an numerical example to compare the difference between the two methods.