企业并购中目标公司价值的实物期权定价研究——基于前景理论的模拟分析
阅读全文
下载全文 |
| Title | Real Option Pricing for the Target Firm in Merger & Acquisition：LSM Simulation Analysis Based on Prospect Theory
|
| 作者 | 葛翔宇 周艳丽 田天海 吴洋 |
| Author | Ge Xiangyu, Zhou Yanli, Tian Tianhai and Wu Yang |
| 作者单位 | 中南财经政法大学知识产权研究中心和中南财经政法大学统计与数学学院;澳大利亚科廷科技大学数学与统计系;澳大利亚莫那什大学数学科学学院;中南财经政法大学统计与数学学院 |
| Organization | School of Statistics and Mathematics, Zhongnan University of Economics and Law; Department of Mathematics and Statistics, Curtin University of Technology, Australia;School of Mathematics Science, Monash University, Australia |
| 作者Email | xiangyu_ge@163.com,yanli_zhou@sina.com,tianhai.tian@monsh.edu,yyjf1988@163.com |
| 中文关键词 | 目标公司价值 实物期权 跳扩散期权定价 前景理论 最小二乘蒙特卡洛模拟 |
| Key Words | Target firm valuation; Real option; Option pricing driven by jump-diffusion process; Prospect theory; Least-Square Monte Carlo (LSM) simulation approach |
| 内容提要 | 本文在实物期权理论的基础上，建立了企业并购中目标公司的实物期权定价模型和外生竞争性服从跳扩散过程的实物期权定价模型。并在此基础上加入前景理论，考虑了决策人有限理性对目标公司估值的影响，构建了基于前景理论的服从跳扩散过程的实物期权行为定价模型。在实证研究中，选取了一个典型的企业并购案例，建立了基于前景理论的服从跳扩散过程的实物期权定价模型，并用最小二乘蒙特卡洛模拟方法对模型进行了模拟分析计算，得到了合理的目标公司价值的估计值。 |
| Abstract | In this paper, we establish the real option pricing model on the basis of real options theory and the real option pricing model with jump diffusion process under the condition of exogenous competition for the valuation of the target firm in merger & Acquisition. Furthermore, taking into consideration the compact of limited rationality of the decision makers on valuing target firm, the real option behavioral pricing model driven by jump-diffusion process and based on prospect theory is developed. Finally, we conduct case study of a typical example selected in the domestic Merger & Acquisition market. We apply the real option behavioral pricing model, simulate by means of least-square Monte Carlo (LSM) simulation approach, and obtain the more reasonable estimated value of the target firm. |
| 文章编号 | WP337 |
| 登载时间 | 2012-08-13 |
|