| 困境企业在不负债情况下的清算与投资的实物期权分析模型 |
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| 引用本文： | 王刚 何国柱 段隐华. 困境企业在不负债情况下的清算与投资的实物期权分析模型[J]. 成都理工学院学报, 2007, 34(6): 630-633 |
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| 作者姓名： | 王刚 何国柱 段隐华 |
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| 作者单位： | 四川农业大学,四川都江堰611830 |
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| 基金项目： | 数学地质四川省高校重点实验室资助;四川省应用基础研究计划项目（C2007-08）;国家基础研究重点规划项目（2002CB111504） |
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| 摘 要： | 在企业瞬时收益流符合几何布朗运动的条件下，通过建立数学模型，分析了困境企业在不负债情况下的投资、清算策略。结果表明，在不负债投资经营的情况下，当收益足够高时，股东决定投资；否则股东决定清算。在决定清算时，由于增长期权的影响，困境企业投资经营提高了清算临界值。
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| 关 键 词： | 实物期权 清算 投资 数学模型 |
| 文章编号： | 1671-9727（2007）06-0630-04 |
| 收稿时间： | 2007-06-10 |
The mathematical model of real options in the investment and liquidation of a failing firm under the all-equity financed |
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| WANG Gang, HE Guo-zhu, DUAN Yin-hua. The mathematical model of real options in the investment and liquidation of a failing firm under the all-equity financed[J]. Journal of Chengdu University of Technology, 2007, 34(6): 630-633 |
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| Authors: | WANG Gang HE Guo-zhu DUAN Yin-hua |
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| Abstract: | Under the random cash flow and following the geometric Brownian motion, this paper analyzes the investment and liquidation policy of the failing firm which is all-equity financed. The authors find that when the failing firm is all-equity financed, the shareholders decide to invest in the firm because of the cash flow high enough, otherwise they determine to do the liquidation. It is obvious that the failing firm increases the optimal liquidation threshold after the investment. |
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| Keywords: | real options liquidation investment mathematical model |
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