基于信息熵理论的实物期权定价模型及其应用

中国管理科学 ›› 2004, Vol. ›› Issue (2): 22-26.

基于信息熵理论的实物期权定价模型及其应用

蔡坚学, 邱菀华

北京航空航天大学经济管理学院北京 100083

收稿日期:2003-07-17 出版日期:2004-04-28 发布日期:2012-03-07
基金资助:
国家自然科学基金资助项目(70372011)

A Real Option Pricing Model Based on Information Entropy Theory

CAI Jian-xue, QIU Wan-hua

School of Economics and Management, Beihang University of Aeronautics and Astronautics, Beijing 100083, China

Received:2003-07-17 Online:2004-04-28 Published:2012-03-07

摘要/Abstract

摘要： 本文结合实物期权的特点,提出了基于信息熵理论的实物期权定价模型,它根据历史信息和投资者的经验估计期权价格,避免了传统期权定价模型过多依赖于参数选择和假设条件的不足。本文还进一步探讨了该方法与传统期权定价模型间的关系,并合理的解释了企业决策中信息的重要性。最后,结合一个示例,说明了该模型在企业投资决策中的应用价值。

关键词: 信息, 实物期权, 风险中性概率, 交互熵

Abstract: This paper presents a real option pricing model based on information-theory. It depends on historical data and investor’s experience to estimate the option price of a project or production,as a result it avoids the problem caused by traditional option pricing models which heavily rely on the choice of parameters and many assumptions.Furthermore,in this paper,the author also discusses the relationship between this model and the traditional option pricing model,and reasonably explains the importance of information in the investment decision Finally,the applicaition value of this model is illustrated by using an example.

Key words: Information, real option, risk-neutral probabilities, cross-entropy

中图分类号:

蔡坚学, 邱菀华. 基于信息熵理论的实物期权定价模型及其应用[J]. 中国管理科学, 2004, (2): 22-26.

CAI Jian-xue, QIU Wan-hua. A Real Option Pricing Model Based on Information Entropy Theory[J]. Chinese Journal of Management Science, 2004, (2): 22-26.

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