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

Lv Shiyu, Liu Beishang, Qiu Wanhua

Science Research Management ›› 2011, Vol. 32 ›› Issue (3) : 145-149.

PDF(989 KB)
PDF(989 KB)
Science Research Management ›› 2011, Vol. 32 ›› Issue (3) : 145-149.

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

  • Lv Shiyu, Liu Beishang, Qiu Wanhua
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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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Lv Shiyu, Liu Beishang, Qiu Wanhua

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A nonparametric real option decision model based on the minimum relative entropy method[J]. Science Research Management. 2011, 32(3): 145-149
PDF(989 KB)

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