科研管理

科研管理 ›› 2011, Vol. 32 ›› Issue (3): 145-149 .

• 论文 • 上一篇    下一篇

基于熵的多阶段非参实物期权决策模型

吕世瑜，刘北上，邱菀华   

  1. （北京航空航天大学 经济管理学院，北京100191）
  • 收稿日期:2010-03-09 修回日期:2010-11-04 出版日期:2011-03-27 发布日期:2011-04-15

A nonparametric real option decision model based on the minimum relative entropy method

Lv Shiyu, Liu Beishang, Qiu Wanhua   

  1. (School of Economics and Management, Beihang University, Beijing 100191, China)
  • Received:2010-03-09 Revised:2010-11-04 Online:2011-03-27 Published:2011-04-15

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摘要： 摘要：本文在Copeland等人提出的多项式期权定价模型的基础上，通过引入最小相对熵原理，建立了多阶段风险投资非参实物期权决策模型，解决了多阶段风险投资估值决策的问题。实证表明，该模型能够使风险项目决策建立在信息收集的基础上，大大减少了参数假设等主观因素的影响，提高了模型的实用性。

关键词: 最小相对熵, 风险中性概率, 多阶段风险投资, 非参期权定价

Abstract: Abstract: Based on the polynomial option pricing model, a multi-stage nonparametric real option model for venture capital evaluation is established by introducing the minimum relative entropy theory. Empirical analysis shows that the model can effectively reduce the subjective impact since it helps us to draw the conclusion in light of the information collection of risk project rather than parameter hypothesis, which is a standard way for most of the pricing models proposed in the past.

Key words: minimum relative entropy, risk-neutral probability, multi-stage venture capital, nonparametric real option valuation

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