Research On Real Option Pricing Based On Sinking Cost Characteristics

The real option analysis method is used to evaluate the financial option theory of real investment,a model of project management and strategic decision-making,option pricing principle can well deal with the uncertainty problems in investment,investment decision-makers realize flexible management possible.At present,the common option pricing method is the B-S option pricing method.The B-S option pricing method enables investors to better solve the multi-stage decision-making problem in the actual project investment.Because of real option and financial option in the implementation of asset price,different property option period,the subject and other aspects,there is not a complete market real option target assets,which does not meet the basic conditions for the B-S option pricing formula--Constructing arbitrage portfolio.Therefore,it is unreasonable to use the B-S option pricing formula directly in the field of physical investment.In this paper,we focus on the execution price of the real option as the starting point,and by adding the other variables such as sunk cost and residual value.On the basis of the BS option pricing formula,we study and derive the full sinking cost.Options,full sinking costs unconditional implementation of bullish real options,salvage conditional execution of bullish real options,residual residual unconditional implementation of bullish real options,bearish real options and other types of options intrinsic value function and option pricing model.At the same time,we make a detailed analysis of the formula,and compare the real option pricing formula and the financial option pricing formula.When the market price is close to the agreement price,the direct use of the financial option formula and the use of the optimized The option value derived from the option pricing formula is quite different;and when the market price is much larger than the agreement price,the difference between the two is smaller.Finally,a common example of oilfield development is used to evaluate the value of project investment by using the traditional net present value method,the traditional B-S option pricing method and the pricing formula based on the sunset cost characteris tic.Finally,it is proved that the investment value of the method is more conservative than that of the traditional method,which can provide a scientific reference for investors to make reasonable investment decision.