Research On Pricing Of The Real Option And Its Application

For investment decision under the environment of uncertainty, we use real option theory for investment analysis, compared to the net present value method, real option theory gives full consideration to the uncertainty in the market which brings the investment value, and is found to maximize the profit of investment.Research methods of real options in this paper based on classical financial option pricing model, using the Contingent Claims Analysis and Optimal Stopping Methods to price the value of an investment, and further analysis is given to effects caused by parameters-- volatility of the underlying asset, risk-free interest rate and dividend rate of the project.Empirical study is conducted using financial data of Amazon and the data of practical market to price the value of Amazon. And then compare it with the stock price of Amazon, we finally confirmed that pricing the value of the company with real option model is reasonable and effective.