简介: NPV= Fi/(1+r)i-I0 =100/(1+10%)+120/(1+10%)2+ 140/(1+10%)3+110/(1+10%)4+80/ (1+10%)5+60/(1+10%)6-500 =-46万元 下面求项目的期权溢价OP,3.4 按实物期权法进行投资决策 按实物期权理论分析该项目的实际价值, N(d2)=N(-0.530)=1-N(0.530)=1-0.6985=0.3015 OP=PN(d1)-I3e-R(T-t)N(d2) =450×0.5303-600e-5%×3×0.3015 =238.6-155.7=82.9万元 那么ENPV=NPV+OP=-46+82.9=36.9万元>
简介: NPV= Fi/(1+r)i-I0 =100/(1+10%)+120/(1+10%)2+ 140/(1+10%)3+110/(1+10%)4+80/ (1+10%)5+60/(1+10%)6-500 =-46万元 下面求项目的期权溢价OP,3.4 按实物期权法进行投资决策 按实物期权理论分析该项目的实际价值, N(d2)=N(-0.530)=1-N(0.530)=1-0.6985=0.3015 OP=PN(d1)-I3e-R(T-t)N(d2) =450×0.5303-600e-5%×3×0.3015 =238.6-155.7=82.9万元 那么ENPV=NPV+OP=-46+82.9=36.9万元>
简介: N(d1)=N(0.07)=0.5279 N(d2)=N(-0.54)=1-N(0054)=1-0.7054 =0.2946 C=P N(d1)–I3e–r (T-t) N(d2) =359.90×0.5279-480 e–5%×3×0.2946 =75.89 那么, P=P/(1+i)=359.90 d1=[lnP/I3+(r+σ2/2)(T-t) ] /σ =[ln(359.90/480)+(5%+35%2/2)×3]/35%=0.07 d2= d1-σ=0.07-35% = -0.54 查阅标准正态分布表得, 利用Black-Scholes定价模型可以计算出C C=P N(d1) - It e–r (T-t) N(d2) d1=[lnP/It +(r+σ2/2)(T-t) ] /σ d2= d1-σ 其中
简介: N(d1)=N(0.07)=0.5279 N(d2)=N(-0.54)=1-N(0054)=1-0.7054 =0.2946 C=P N(d1)–I3e–r (T-t) N(d2) =359.90×0.5279-480 e–5%×3×0.2946 =75.89 那么, P=P/(1+i)=359.90 d1=[lnP/I3+(r+σ2/2)(T-t) ] /σ =[ln(359.90/480)+(5%+35%2/2)×3]/35%=0.07 d2= d1-σ=0.07-35% = -0.54 查阅标准正态分布表得, 利用Black-Scholes定价模型可以计算出C C=P N(d1) - It e–r (T-t) N(d2) d1=[lnP/It +(r+σ2/2)(T-t) ] /σ d2= d1-σ 其中