安全投资中的实物期权定价模型研究
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摘要
安全投资已经日益成为能够影响安全生产水平和经济效益的重要因素,如何使社会有限的投入去实现尽可能高的安全标准,是人们努力寻求的目标,因此如何科学有效的评价安全投资所能带来的价值成为安全工作的关键。
本文主要研究了安全投资中的实物期权定价模型。不可逆性和不确定性是安全投资项目的主要特点,传统的安全投资评价方法存在着明显的缺陷,常常低估了安全投资项目的价值,而实物期权方法正好能弥补这些不足。文章首先介绍了安全投资理论的相关知识,并分析了影响安全投资的可能因素,决策者必须充分考虑各种影响因素,反复权衡各种背景、条件、利弊情况,才有可能使安全投资获得最大的效益;其次介绍了实物期权理论的相关知识,分析了安全投资中引入实物期权理论的必要性,又对安全投资项目特性进行了详细研究,得出安全投资项目具有隐蔽性、随机性、条件性、组合性和相互影响性等实物期权特性,并探讨了安全投资中可能存在的实物期权种类,如延迟期权、扩张或收缩期权、转换期权等等;然后引入了实物期权方法对安全投资中的实物期权进行定价,提出模型的假设条件,以二叉树图方程式为基础,建立安全投资中实物期权的二叉树定价模型,并对模型中参数赋予新的含义以符合安全投资的特性,且应用模型分析了安全投资中的两个案例;最后给出结论与展望。
实物期权方法比传统方法更具优越性,突破了传统投资决策方法固有的局限性,并对其进行修正,挖掘出安全投资项目中蕴含的不确定性的价值,为安全投资决策提供了一种可行性分析方法。希望通过本文的研究,能够改变人们的思维方式,把实物期权方法应用到安全投资领域,为安全投资决策提供了一种新思路。
Safety investment has increasingly become an important factor to influence the level of safe production and the economic benefits. How to make the limited investment in the community to achieve the highest possible safety standards is the goal that people are working hard to seek. So it has been the key of safety work that how to evaluate the safety investment scientifically and effectively.
This paper studies the real options pricing model of safety investment mainly. Irreversibility and uncertainly are the major features of safety investment projects, there are so many clear deficiencies in the traditional safety investment evaluation method, and often underestimate the value of safety investment projects, but real options approach can make up for these deficiencies. Firstly, it introduces the relevant knowledge about safety investment theory, and analyzes the possible impact factors of safety investment, policy makers must take full account of various factors, repeatedly balance the background, conditions and the pros and cons, it will be possible to get the most safety investment efficiency; Secondly, it introduces the relevant knowledge about the real options theory and analyzes the necessity to apply the real options method in the safety investment. By the detailed analysis of safety investment projects, we find that safety investment projects have many real options’characteristics, such as hidden characteristics, random characteristics, and so on. In the process of safety investment projects, there may exist option to delay, option to expand or option to contract, option to switch and others. Thirdly the real option approach is applied in the area of safety investment for real options pricing, the model assumptions are proposed, the real options pricing model of safety investment is established on the basis of the binomial model formula, and the parameters in the model are given new meaning to comply with the safety investment properties, and the two cases are analyzed by the model. Finally, it gives the conclusions and prospects.
Real options approach has more advantages than the traditional method, and breaks through the inherent limitations of traditional method, and excavates the value of the uncertainty which is contained in the safety investment projects by its amendment to the traditional method. Hope that through this study, people’s way of thinking can be changed. It provides a new idea for safety investment decision-making by the real options method applied to the area of safety investment.
本文主要研究了安全投资中的实物期权定价模型。不可逆性和不确定性是安全投资项目的主要特点,传统的安全投资评价方法存在着明显的缺陷,常常低估了安全投资项目的价值,而实物期权方法正好能弥补这些不足。文章首先介绍了安全投资理论的相关知识,并分析了影响安全投资的可能因素,决策者必须充分考虑各种影响因素,反复权衡各种背景、条件、利弊情况,才有可能使安全投资获得最大的效益;其次介绍了实物期权理论的相关知识,分析了安全投资中引入实物期权理论的必要性,又对安全投资项目特性进行了详细研究,得出安全投资项目具有隐蔽性、随机性、条件性、组合性和相互影响性等实物期权特性,并探讨了安全投资中可能存在的实物期权种类,如延迟期权、扩张或收缩期权、转换期权等等;然后引入了实物期权方法对安全投资中的实物期权进行定价,提出模型的假设条件,以二叉树图方程式为基础,建立安全投资中实物期权的二叉树定价模型,并对模型中参数赋予新的含义以符合安全投资的特性,且应用模型分析了安全投资中的两个案例;最后给出结论与展望。
实物期权方法比传统方法更具优越性,突破了传统投资决策方法固有的局限性,并对其进行修正,挖掘出安全投资项目中蕴含的不确定性的价值,为安全投资决策提供了一种可行性分析方法。希望通过本文的研究,能够改变人们的思维方式,把实物期权方法应用到安全投资领域,为安全投资决策提供了一种新思路。
Safety investment has increasingly become an important factor to influence the level of safe production and the economic benefits. How to make the limited investment in the community to achieve the highest possible safety standards is the goal that people are working hard to seek. So it has been the key of safety work that how to evaluate the safety investment scientifically and effectively.
This paper studies the real options pricing model of safety investment mainly. Irreversibility and uncertainly are the major features of safety investment projects, there are so many clear deficiencies in the traditional safety investment evaluation method, and often underestimate the value of safety investment projects, but real options approach can make up for these deficiencies. Firstly, it introduces the relevant knowledge about safety investment theory, and analyzes the possible impact factors of safety investment, policy makers must take full account of various factors, repeatedly balance the background, conditions and the pros and cons, it will be possible to get the most safety investment efficiency; Secondly, it introduces the relevant knowledge about the real options theory and analyzes the necessity to apply the real options method in the safety investment. By the detailed analysis of safety investment projects, we find that safety investment projects have many real options’characteristics, such as hidden characteristics, random characteristics, and so on. In the process of safety investment projects, there may exist option to delay, option to expand or option to contract, option to switch and others. Thirdly the real option approach is applied in the area of safety investment for real options pricing, the model assumptions are proposed, the real options pricing model of safety investment is established on the basis of the binomial model formula, and the parameters in the model are given new meaning to comply with the safety investment properties, and the two cases are analyzed by the model. Finally, it gives the conclusions and prospects.
Real options approach has more advantages than the traditional method, and breaks through the inherent limitations of traditional method, and excavates the value of the uncertainty which is contained in the safety investment projects by its amendment to the traditional method. Hope that through this study, people’s way of thinking can be changed. It provides a new idea for safety investment decision-making by the real options method applied to the area of safety investment.
引文
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[3] 中国安全网 www.Safety.com.cn,安全工程师培训—安全经济学—《职业安全卫生费 用模型》
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[6] K.S.Son, R.E.Melchers, W.M.Kal. An analysis of safety control effectiveness [J]. Reliability Engineering and System Safety, 2000 (68)
[7] Scott Farrow, Investing in safety: analytical precautionary principle [J] .Journal of safety Research, 2002//33p 165-174
[8] 高鸿斌,译.意大利安全投资中获利[J].世界轨道交通,2006(7) 56-57
[9] 邓小林,李鸿光等.建筑工地事故的经济损失与最有效的安全投资(香港经验)[J]. 中国安全科学学报,1995.2,第 5 卷,第 1 期,45-47
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[11] 王大业,王琦.安全投资优化分配方法证明及应用[J].数学的实践与认识,2002.32(6):320-326
[12] 辛嵩,程卫民.煤炭企业最佳安全投资的边际分析[J].辽宁工程技术大学学报,2003.22(4):575-576
[13] 梅强.安全投资方向决策的研究[J].中国安全科学学报,1999.9(5):42-48
[14] 于志鹏,陆愈实.模糊灰色关联法在分析安全投资因素与效益关系中的应用[J].中 国安全科学学报, Vol.17 No.3,2007(3)
[15] 李红霞,田水承.安全激励机制体系分析[J].矿业安全与环保,2001.24(3):8-10
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[18] 吕俊杰,邱菀华等.网络安全投资外部性及博弈策略[J].北京航空航天大学学报, Vol.32 No.12,2006(12)
[19] 刘艳.安全投资经济效果指标体系浅析[J].安全,2002.5
[20] 陈晓红,吴双芝.安全投资项目技术经济指标的研究[J].中国矿业, Vol.15.No.6,2006(6)
[21] 彭红军,李新春.安全投资最优化模型[J].煤矿安全,2007-02
[22] 王书明,何学秋.实物期权理论在安全投资决策中的应用[J].统计与决策,2005 (12)
[23] 姚庆国,黄渝祥.企业安全行为及其经济分析[J].安全生产,2005(7),66-69
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[25] Merton R. Theory of rational option pricing [J].Bell Journal of Economics and Management Science,Vol:4,Iss:1,1973:141-183
[26] Cox J, Ross S, Rubinstein M. Option pricing: A simplified approach [J]. Journal of Financial Economics, September, 1979:229-263
[27] R.Geske. The valuation of compound options [J]. Journal of Financial Economics, Vol:7, Iss:1,1979:63-81
[28] Cox, J. C. and Ross, S. A. The valuation of options for alternative stochastic processes [J]. Journal of Financial Economics (1976)(3): 145-166.
[29] Myer,S. Determinants of Corporate borrowing [J].Journal of Financial Economics 1977(5)
[30] MASON S P, MERTON R C. The role of contingent claims analysis in corporate finance [M]// AITMAN E,SUBRAHMANYAM M. Recent advances in corporate finance. IRWIN. 1985
[31] McDonald R. and Siegel D. The value of Waiting to Invest [J].Quarterly Journal of Economies,1986,101(4),707-727
[32] Pennings,H.P.G. and Lint, L.j.O. The option value of advanced R&D [J].European Journal of Operational Research, 1997:103(1):83—94
[33] Dater & Mathews. European real options: An Intuitive Algorithm for the Black-Scholes Formula [J].Journal of Applied Finance, Vol.14 No.1, Spring/Summer 2004
[34] Schwartz E.S. and Moon M. Rational Pricing of Internet Companies [J].Financial Analysts Journal, 2000(3):7-26
[35] Brandao & Dyer. Using Binomial Decision Trees to Solve Real-Option Valuation Problems [J].Decision Analysis, Vol.2, Iss: 2, 2005(6)
[36] Rainer Brosch. "Portfolio-aspects in real options management," Working Paper Series: Finance and Accounting 66, Department of Finance, Goethe University Frankfurt am Main, revised. 2001
[37] Federica Cucchiella, Massimo Gastaldi.Risk management in supply chain: a real optionapproach [J].Journal of Manufacturing Technology management,Vol.17 No.6,2006, pp.700-720
[38] Ronald S. Tibben-Lembke, Dale S. Rogers, Real Options: applications to logistics and transportation [J]. International Journal of Physical Distribution & Logistics Management, Vol.36 No.4, 2006, pp.252-270.
[39] Takeshi Shibata. The impacts of uncertainties in a real options model under incomplete information [J]. European Journal of Operational Research 187 (2008),1368-1379
[40] 范龙振,唐国兴.投资机会的价值与投资决策—几何布朗运动模型[J].系统工程学报,1998(3)
[41] 谈毅,冯宗宪.高新技术产业风险投资的期权特征与经济评价[J].科研管理,1999(3)
[42] 管曙荣、史云和聂红梅等.实物期权方法在多项目预算决策中的应用[J].东北大学学报:自然科学版,2003 年 24 卷 7 期:707-709
[43] 梅正阳,李楚霖.单资产期权定价的三项式模型 [J].系统工程,2001(4)
[44] 丁正中,曾慧.实物期权的三叉树定价模型 [J].统计研究,2005(11)
[45] 李洪江,曲晓飞,冯敬海.阶段性投资最优比例问题的实物期权方法[J].管理工程学报,2003.6(1):20-26
[46] 张坚、陶树人.基于遗传算法的 R&D 项目实物期权评价模型[J].科学学与科学 技术管理,2003(04)
[47] 蔡坚学,邱菀华.基于信息熵理论的实物期权定价模型及应用[J].中国管理科学, 2004(02)
[48] 樊霞,刘西林.实物期权的项目投资组合决策优化研究[J].工业工程与管理,2006 年 11 卷 1 期:82-85
[49] 黄生权,陈晓红.基于实物期权的矿业投资最佳时机决策模型[J].系统工程,2006(04)
[50] Cox,J. and S Ross. The Valuation of options for Alternative Stochastic Process[J]. Journal of Financial Economics, Vol.3, 1976:229-263
[51] Amram M, Kulatilaka N. Real Options: managing strategic investment in an uncertain world [J].Harvard Business School Press, 1998
[52] Dixit, A.K. and R.S. Investment under uncertainty. Princeton, New Jersey: Princeton University press, 1996
[53] Trigeorgis I. Real Options Managerial Flexibility and Strategy in Resource Alocation [M]. Massachusetts, MIT PRESS, 1996
[54] 羊利锋,雷星晖.实物期权与投资决策[J].工业技术经济,2000(12)
[55] 廖理,汪毅慧.实物期权理论与企业价值评估[J] .数量经济技术经济研究,2001(3)
[56] Myer, S.Determinants of Corporate borrowing [J].Journal of Financial Economics 1977,5
[57] R.C.Merton. Theory of Rational Option Pricing [J].Bell Journal of Economics and Management Science, 1973: Vol.4:141-183
[58] 乔纳森·芒著;邱雅丽译.实物期权分析[M].北京:中国人民大学出版社,2006
[2] 周洛华.中级金融工程学[M].上海:上海财经大学出版社,2005.5(203)
[3] 中国安全网 www.Safety.com.cn,安全工程师培训—安全经济学—《职业安全卫生费 用模型》
[4] [意]D·安德烈奥尼.职业性事故与疾病的经济负担[M].宋大成译.北京:中国劳动 出版社,1992
[5] 宋大成.劳动安全卫生费用模型[J].中国安全科学学报,2000.2
[6] K.S.Son, R.E.Melchers, W.M.Kal. An analysis of safety control effectiveness [J]. Reliability Engineering and System Safety, 2000 (68)
[7] Scott Farrow, Investing in safety: analytical precautionary principle [J] .Journal of safety Research, 2002//33p 165-174
[8] 高鸿斌,译.意大利安全投资中获利[J].世界轨道交通,2006(7) 56-57
[9] 邓小林,李鸿光等.建筑工地事故的经济损失与最有效的安全投资(香港经验)[J]. 中国安全科学学报,1995.2,第 5 卷,第 1 期,45-47
[10] 王大承.安全投资优化分配模型的建立及其应用[J].武邑大学学报,2000.16(1):50-53
[11] 王大业,王琦.安全投资优化分配方法证明及应用[J].数学的实践与认识,2002.32(6):320-326
[12] 辛嵩,程卫民.煤炭企业最佳安全投资的边际分析[J].辽宁工程技术大学学报,2003.22(4):575-576
[13] 梅强.安全投资方向决策的研究[J].中国安全科学学报,1999.9(5):42-48
[14] 于志鹏,陆愈实.模糊灰色关联法在分析安全投资因素与效益关系中的应用[J].中 国安全科学学报, Vol.17 No.3,2007(3)
[15] 李红霞,田水承.安全激励机制体系分析[J].矿业安全与环保,2001.24(3):8-10
[16] 罗云.安全经济学导论[M].北京:经济科学出版社,1993.6
[17] 罗云等.安全经济学[M].北京:化学工业出版社,2004.3
[18] 吕俊杰,邱菀华等.网络安全投资外部性及博弈策略[J].北京航空航天大学学报, Vol.32 No.12,2006(12)
[19] 刘艳.安全投资经济效果指标体系浅析[J].安全,2002.5
[20] 陈晓红,吴双芝.安全投资项目技术经济指标的研究[J].中国矿业, Vol.15.No.6,2006(6)
[21] 彭红军,李新春.安全投资最优化模型[J].煤矿安全,2007-02
[22] 王书明,何学秋.实物期权理论在安全投资决策中的应用[J].统计与决策,2005 (12)
[23] 姚庆国,黄渝祥.企业安全行为及其经济分析[J].安全生产,2005(7),66-69
[24] F.Black & M Scholes. The pricing of Options and Corporate Liabilities [J]. Journal of Political Economy, Vol.81, 1973:637-659
[25] Merton R. Theory of rational option pricing [J].Bell Journal of Economics and Management Science,Vol:4,Iss:1,1973:141-183
[26] Cox J, Ross S, Rubinstein M. Option pricing: A simplified approach [J]. Journal of Financial Economics, September, 1979:229-263
[27] R.Geske. The valuation of compound options [J]. Journal of Financial Economics, Vol:7, Iss:1,1979:63-81
[28] Cox, J. C. and Ross, S. A. The valuation of options for alternative stochastic processes [J]. Journal of Financial Economics (1976)(3): 145-166.
[29] Myer,S. Determinants of Corporate borrowing [J].Journal of Financial Economics 1977(5)
[30] MASON S P, MERTON R C. The role of contingent claims analysis in corporate finance [M]// AITMAN E,SUBRAHMANYAM M. Recent advances in corporate finance. IRWIN. 1985
[31] McDonald R. and Siegel D. The value of Waiting to Invest [J].Quarterly Journal of Economies,1986,101(4),707-727
[32] Pennings,H.P.G. and Lint, L.j.O. The option value of advanced R&D [J].European Journal of Operational Research, 1997:103(1):83—94
[33] Dater & Mathews. European real options: An Intuitive Algorithm for the Black-Scholes Formula [J].Journal of Applied Finance, Vol.14 No.1, Spring/Summer 2004
[34] Schwartz E.S. and Moon M. Rational Pricing of Internet Companies [J].Financial Analysts Journal, 2000(3):7-26
[35] Brandao & Dyer. Using Binomial Decision Trees to Solve Real-Option Valuation Problems [J].Decision Analysis, Vol.2, Iss: 2, 2005(6)
[36] Rainer Brosch. "Portfolio-aspects in real options management," Working Paper Series: Finance and Accounting 66, Department of Finance, Goethe University Frankfurt am Main, revised. 2001
[37] Federica Cucchiella, Massimo Gastaldi.Risk management in supply chain: a real optionapproach [J].Journal of Manufacturing Technology management,Vol.17 No.6,2006, pp.700-720
[38] Ronald S. Tibben-Lembke, Dale S. Rogers, Real Options: applications to logistics and transportation [J]. International Journal of Physical Distribution & Logistics Management, Vol.36 No.4, 2006, pp.252-270.
[39] Takeshi Shibata. The impacts of uncertainties in a real options model under incomplete information [J]. European Journal of Operational Research 187 (2008),1368-1379
[40] 范龙振,唐国兴.投资机会的价值与投资决策—几何布朗运动模型[J].系统工程学报,1998(3)
[41] 谈毅,冯宗宪.高新技术产业风险投资的期权特征与经济评价[J].科研管理,1999(3)
[42] 管曙荣、史云和聂红梅等.实物期权方法在多项目预算决策中的应用[J].东北大学学报:自然科学版,2003 年 24 卷 7 期:707-709
[43] 梅正阳,李楚霖.单资产期权定价的三项式模型 [J].系统工程,2001(4)
[44] 丁正中,曾慧.实物期权的三叉树定价模型 [J].统计研究,2005(11)
[45] 李洪江,曲晓飞,冯敬海.阶段性投资最优比例问题的实物期权方法[J].管理工程学报,2003.6(1):20-26
[46] 张坚、陶树人.基于遗传算法的 R&D 项目实物期权评价模型[J].科学学与科学 技术管理,2003(04)
[47] 蔡坚学,邱菀华.基于信息熵理论的实物期权定价模型及应用[J].中国管理科学, 2004(02)
[48] 樊霞,刘西林.实物期权的项目投资组合决策优化研究[J].工业工程与管理,2006 年 11 卷 1 期:82-85
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