1、學(xué)校代號(hào)。!Q531分類(lèi)號(hào)⑨瀚角夫事HUNANUNIVERSITY博士學(xué)位論文掌號(hào)旦121Q密級(jí)項(xiàng)目投資定價(jià)與擇時(shí)理論研究學(xué)位申請(qǐng)人姓名培養(yǎng)單位導(dǎo)師姓名及職稱學(xué)科專業(yè)研究方向論文提交曰期鹽匹蘊(yùn)。王壹鱉壅警醫(yī)奎拯丞熬攫筐理整堂生王捏亟墾鱉堡～2QQ至2旦!目項(xiàng)整投資定價(jià)與擇時(shí)理論溪究AbstractInthispaper，weattackthenewestproblemsoninvestmentunderuncertaintySevera

2、lframeworksaredevelopedindetailandonecasestudyisalsoshownforthepurposeofapplicationAccordingtoutilityindifferencepricesandtheideasfromrealoptionpricing，weturnonthevaluationandtimingoftheoptiontoinvestunderuncertaintyandw

3、ithoutaperfectspanningassetFirstly，wereviewtwoclassicalapproachesofinvestmentunderuncertainty：thewellknownmodelsofMcDonaldandSiegel(1986)andDixitandPindyck(1994)，whichvaluetheinvestmentdecisionasaperpetualAmericancallopt

4、ionontheprojectvalueHowever，thecompletemarketinDixitandPindyck(1994)isatheoreticalsettingwhichoftencannotbefoundinpractice，andMcDonaldandSiegel(1986)doesnotrecognizesprivaterisksThus，weassumethemarketsareincompleteandrec

5、ognizeprivaterisksbyutilityfunctionUtilizingstochasticdynamicprogrammingandutilityindifferenceprices，weobtainthemethodsofhowtovalueandtimetheinvestmentopportunityFirstly，weassumeutilityisexponentialandcashflowsofaproject

6、followalognormalprocesswithupperbarrierwithoutaperfectspanningassetWedealwithproblemsoftimingandvaluationoftheprojectBymakinguseofstochasticcontroltheoryandane、vverification，explicitsolutionsarederivedtoboththevalueandti

7、mingoftheoptiontoinvestSecondly，Weproposeanewmodelforthecash—flowofaproject，anexponentialmean—revertingprocess，inwhichthereismuchevidenceinpracticeWealsoacquiretheexplicitsolutionsbyournewmethodsandsolvingapartialdiffere

8、ntialequationsuccessfullyThirdly，weassumeutilityisafunctionwiththeconstantandrelativeriskaversioncoefficientsSomeresultsarederivedaboutthevalueandtimingoftheoptiontoinvestWeconcludethatboththepricingandtimingarepertinent

9、totheinvestor’SamountofwealthincontrasttotheexponentialsituationFourthly，weexploreanapplicationinapracticalprojectBymeansoftheMatlabsoftware，wediscusstheeffectsofvariedcombinationofparametersonthepricingandtimingviacompa