基于实物期权的企业战略投资决策模型及其应用研究
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摘要
摘要：企业战略投资普遍具有时间跨度长、投资规模大、投资不可逆性的特点,企业战略投资过程充满了不确定性。传统的企业战略投资方法没有考虑企业战略投资所面临的各种不确定性因素,忽视了企业战略投资的期权价值。实物期权理论可以解决风险大、不确定性大的投资决策问题,而企业战略投资的最大特点恰恰就是风险大、不确定性大,本文借助于实物期权理论,运用定量分析技术对企业战略投资决策进行了系统的研究。企业战略投资传统的NPV方法没有考虑企业战略投资所面临的不确定性因素,运用NPV方法对企业战略投资决策时,要么投资、要么不投资,没有其他选择。企业战略投资ENPV方法只考虑企业战略投资中所面临的部分不确定性因素,不能做出完全有效的企业战略投资决策。基于实物期权的企业战略投资决策方法全面考虑了企业战略投资所面临的所有的不确定性因素的影响,能够确定企业战略投资中所具有的期权价值,从而更有效地进行企业战略投资决策。
论文借助实物期权相关理论,对企业战略投资决策理论与方法进行了系统研究,构建了相应的模型,并运用MATLAB软件对模型进行数值分析,并对现实企业战略投资经济现象进行了解释。论文主要研究体现在以下几个方面：
(1)建立了企业战略投资实物期权分析框架。将企业战略投资落实到具体的决策过程中来,在实物期权思想的指导下将博弈论、现金流折现法、情境分析、决策树分析、模拟分析、敏感性分析进行整合,提出了企业战略投资的实物期权分析框架。
(2)构建了企业战略投资的定价模型。企业战略投资决策关键在于其期权价值的确定,企业战略投资期权价值的表现形式有连续型和离散两种,本文分别研究了这两种情形下战略投资期权定价模型。将企业战略投资的定价模型应用到企业的战略投资决策方面具有重要的应用价值。
(3)构建了基于期权博弈的多因素企业战略投资决策模型。本文主要着眼于尽可能的接近企业战略投资所处的实际背景环境,将重点放在了产品市场需求和运营成本这两重不确定因素及其相关性,并为不对称双寡头企业的战略投资进行框架分析。首先,将运营成本和企业战略投资成本放在了一起进行研究,这两个成本实际上所服从的随机过程是一致的,所以可以运用合理的技术手段使二者有效的融合起来；其次,本文还放眼于企业的内生角色,重点研究了企业最优战略投资均衡策略规则。同时考虑了两重随机因素,并研究了混合均衡策略的存在性及其存在条件。
(4)研究了战略投资决策模型重要的参数波动率。在企业的战略投资实物期权定价模型中,波动率是最难以取值但又是最重要的一个参数。金融期权是通过股票的历史价格计算得出股票历史收益率的标准差,在此基础上得出历史的波动率,不过对于战略投资实物期权来说,因为没有期权的市场价格,也没有历史价格,所以波动率的选取是在战略投资实物期权计算中的困难之处,本文研究了波动率的影响因素和计算方法。
Abstract:Corporate strategic investments generally need a long investment time span, a large investment scale and they are usually irreversible, and full of uncertainties. Traditional corporate strategy investment approaches do not take various uncertainties into considers, ignoring the option values of corporate strategic investment. Real options theory can help to solve risky and uncertainty investment decision problems, which precisely fits to the characteristics of corporate strategic investments. Therefore this paper uses the real options theory to study corporate strategic technology investment decisions systematically by means of quantitative analysis tools. Traditional NPV method on enterprise strategic investment decisions does not take the uncertainties into account, and assuming either invest or not to invest, there is no other choices, when the corporate is making strategic investment decisions. While ENPV only considers a part of uncertainties, and can not help the corporate to make decisions on corporate strategic investment fully effectively. However, real options approach do take all the uncertainties into account, and can assess the values of corporate strategic investment options, thus can help to make more effective corporate strategic investment decisions.
The paper uses the real options theory to study systematically on corporate strategic investment decision theory and methods, constructs the corresponding model, and proposes some numerical analysis of the model using MATLAB software, and makes some explanations for enterprises strategic investment phenomenon in the real economy. Main innovations of the study in the paper are as following:
(1) The analysis framework of corporate strategic investment based on real options is proposed, thus specific corporate strategy investment decision-makings are taken into the analysis process. Some theories and approaches are integrated into the proposed analysis framework of enterprises strategic investments including discounted cash flow method, scenario analysis, decision tree analysis, simulation analysis, sensitivity analysis, etc under the guide of real options.
(2) A options pricing model of corporate strategy investment is proposed.The key of corporate strategic investment decisions is to determine the value of strategic options.There are two kinds of expressions of option value in corporate strategy investments, which are continuous and discrete options pricing models separately. And this paper studies pricing models of strategic investment options from the above forms. It is of great application value to apply the option pricing model in corporate strategic investment decisions
(3) A multi-factor model for corporate strategy investment decisions based on option game theory is proposed.The paper mainly focuses on simulating the actual context of corporate strategy investment decisions as closely as possible. And the paper also focuses on analyzing two important uncertainties of the market demand and operating costs and their relevance.Then a strategic investment framework for asymmetric duopoly enterprises is analyzed. Firstly, this paper studies the operating costs and investment costs of the corporate strategy together, because these two kinds of cost actually obey the same stochastic processes, thus an reasonable technical can be used to make them effectively integrating. Secondly, the paper also analyzes the roles of endogenous factors in enterprise, and induces the optimal strategic investment policy rules. At last, taking the double random factors into account, the paper also studies the existence and its conditions of mixed strategy equilibriums.
(4) Volatility, an important parameters in the company's strategic investments based on real options pricing model, is studies, which is one of the most difficult but the most important parameters of the model. The volatility of financial options is calculated by the standard deviation of stock yields based on the historical stock prices.But for strategic investment options, it is difficult to calculate and to select the volatility, because there is no current and historical market prices of strategy options.Thus this paper studies the impact of factors and calculation methods of the parameter of volatility.
论文借助实物期权相关理论,对企业战略投资决策理论与方法进行了系统研究,构建了相应的模型,并运用MATLAB软件对模型进行数值分析,并对现实企业战略投资经济现象进行了解释。论文主要研究体现在以下几个方面：
(1)建立了企业战略投资实物期权分析框架。将企业战略投资落实到具体的决策过程中来,在实物期权思想的指导下将博弈论、现金流折现法、情境分析、决策树分析、模拟分析、敏感性分析进行整合,提出了企业战略投资的实物期权分析框架。
(2)构建了企业战略投资的定价模型。企业战略投资决策关键在于其期权价值的确定,企业战略投资期权价值的表现形式有连续型和离散两种,本文分别研究了这两种情形下战略投资期权定价模型。将企业战略投资的定价模型应用到企业的战略投资决策方面具有重要的应用价值。
(3)构建了基于期权博弈的多因素企业战略投资决策模型。本文主要着眼于尽可能的接近企业战略投资所处的实际背景环境,将重点放在了产品市场需求和运营成本这两重不确定因素及其相关性,并为不对称双寡头企业的战略投资进行框架分析。首先,将运营成本和企业战略投资成本放在了一起进行研究,这两个成本实际上所服从的随机过程是一致的,所以可以运用合理的技术手段使二者有效的融合起来；其次,本文还放眼于企业的内生角色,重点研究了企业最优战略投资均衡策略规则。同时考虑了两重随机因素,并研究了混合均衡策略的存在性及其存在条件。
(4)研究了战略投资决策模型重要的参数波动率。在企业的战略投资实物期权定价模型中,波动率是最难以取值但又是最重要的一个参数。金融期权是通过股票的历史价格计算得出股票历史收益率的标准差,在此基础上得出历史的波动率,不过对于战略投资实物期权来说,因为没有期权的市场价格,也没有历史价格,所以波动率的选取是在战略投资实物期权计算中的困难之处,本文研究了波动率的影响因素和计算方法。
Abstract:Corporate strategic investments generally need a long investment time span, a large investment scale and they are usually irreversible, and full of uncertainties. Traditional corporate strategy investment approaches do not take various uncertainties into considers, ignoring the option values of corporate strategic investment. Real options theory can help to solve risky and uncertainty investment decision problems, which precisely fits to the characteristics of corporate strategic investments. Therefore this paper uses the real options theory to study corporate strategic technology investment decisions systematically by means of quantitative analysis tools. Traditional NPV method on enterprise strategic investment decisions does not take the uncertainties into account, and assuming either invest or not to invest, there is no other choices, when the corporate is making strategic investment decisions. While ENPV only considers a part of uncertainties, and can not help the corporate to make decisions on corporate strategic investment fully effectively. However, real options approach do take all the uncertainties into account, and can assess the values of corporate strategic investment options, thus can help to make more effective corporate strategic investment decisions.
The paper uses the real options theory to study systematically on corporate strategic investment decision theory and methods, constructs the corresponding model, and proposes some numerical analysis of the model using MATLAB software, and makes some explanations for enterprises strategic investment phenomenon in the real economy. Main innovations of the study in the paper are as following:
(1) The analysis framework of corporate strategic investment based on real options is proposed, thus specific corporate strategy investment decision-makings are taken into the analysis process. Some theories and approaches are integrated into the proposed analysis framework of enterprises strategic investments including discounted cash flow method, scenario analysis, decision tree analysis, simulation analysis, sensitivity analysis, etc under the guide of real options.
(2) A options pricing model of corporate strategy investment is proposed.The key of corporate strategic investment decisions is to determine the value of strategic options.There are two kinds of expressions of option value in corporate strategy investments, which are continuous and discrete options pricing models separately. And this paper studies pricing models of strategic investment options from the above forms. It is of great application value to apply the option pricing model in corporate strategic investment decisions
(3) A multi-factor model for corporate strategy investment decisions based on option game theory is proposed.The paper mainly focuses on simulating the actual context of corporate strategy investment decisions as closely as possible. And the paper also focuses on analyzing two important uncertainties of the market demand and operating costs and their relevance.Then a strategic investment framework for asymmetric duopoly enterprises is analyzed. Firstly, this paper studies the operating costs and investment costs of the corporate strategy together, because these two kinds of cost actually obey the same stochastic processes, thus an reasonable technical can be used to make them effectively integrating. Secondly, the paper also analyzes the roles of endogenous factors in enterprise, and induces the optimal strategic investment policy rules. At last, taking the double random factors into account, the paper also studies the existence and its conditions of mixed strategy equilibriums.
(4) Volatility, an important parameters in the company's strategic investments based on real options pricing model, is studies, which is one of the most difficult but the most important parameters of the model. The volatility of financial options is calculated by the standard deviation of stock yields based on the historical stock prices.But for strategic investment options, it is difficult to calculate and to select the volatility, because there is no current and historical market prices of strategy options.Thus this paper studies the impact of factors and calculation methods of the parameter of volatility.
引文
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