Ship Investment Decision Based on Compound Real Option

Journal of Chongqing Jiaotong University(Natural Science) ›› 2010, Vol. 29 ›› Issue (3): 474-479.

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Ship Investment Decision Based on Compound Real Option

LV Jing,GONG Xiao-xing,YANG Lin-da

School of Transportation Management,Dalian Maritime University,Dalian 116026,Liaoning,China

Received:2009-11-18 Revised:2010-01-19 Online:2010-06-15 Published:2015-01-22

基于组合实物期权的船舶投资决策研究

吕靖,宫晓婞,杨林达

大连海事大学交通运输管理学院, 辽宁大连 116026

作者简介:吕靖(1959—) , 男, 黑龙江五常人, 教授, 博士生导师, 主要从事航运经济研究方面的工作。E-mail:lujing@dlmu.edu.cn。

Abstract

Abstract: The ship investment decisions with the characteristics of compound real options are investigated. Binary tree model is established, and Crystal Ball software is used to simulate the fluctuation ratio of shipping market through Monte Carlo method, and then the project of ship investiment is evaluated. The emprical results indicate the ship investment projects with multiple choices have much more value than those ship investment projects with single option do.

Key words: compound real option, ship investment decisions, binary tree model

摘要： 旨在研究具有组合复合实物期权特征的船舶投资决策。通过建立二叉树定价模型,并利用CrystalBall软件运用蒙特卡洛模拟方法模拟航运市场波动率,从而对船舶投资项目进行评价。通过实例分析得出,拥有多重选择性的船舶投资项目的价值要大于仅有单一期权的投资项目价值。

关键词: 组合复合实物期权, 船舶投资决策, 二叉树模型

CLC Number:

LV Jing,GONG Xiao-xing,YANG Lin-da. Ship Investment Decision Based on Compound Real Option[J]. Journal of Chongqing Jiaotong University(Natural Science), 2010, 29(3): 474-479.

吕靖,宫晓婞,杨林达. 基于组合实物期权的船舶投资决策研究[J]. 重庆交通大学学报（自然科学版）, 2010, 29(3): 474-479.

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Ship Investment Decision Based on Compound Real Option

基于组合实物期权的船舶投资决策研究

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