Real optioner og investering under usikkerhed
Real optioner og investering under usikkerhed
Real optioner og investering under usikkerhed
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93<br />
<strong>og</strong><br />
F (V ) = A 2 V 2<br />
= I V () A 2 = I V<br />
V 2<br />
indsæt A 2 :<br />
F 0 (V ) = 2 A 2 V 2 1 1<br />
= 1 () V = ( ) 1<br />
2 A 2<br />
2 1<br />
V = (<br />
1<br />
I V<br />
2 V 2<br />
) 1<br />
2 1<br />
() V = ( 2<br />
V I<br />
V 2<br />
) 1<br />
1 2 ()<br />
1<br />
1 <br />
V = 2<br />
2 ( V I<br />
V 2<br />
1<br />
1 <br />
1 2 () V = 2<br />
2 [( V<br />
) 1<br />
V 2<br />
I<br />
V ) 1<br />
2<br />
1<br />
1 <br />
1 2 ] () V = 2<br />
2 [(V 1 2<br />
V 2I) 1<br />
1 2 ] ()<br />
1<br />
1 <br />
2<br />
2 = V 1 [(V 1 2<br />
V 2I) 1<br />
1 2 ] () 2 1 = V 2 1 [(V 1 2<br />
V 2I)] ()<br />
2 = (1 V 1 I) () 1 2<br />
1<br />
I<br />
1<br />
= V 1 () I<br />
1 1<br />
2<br />
= V ()<br />
V = 2<br />
2 1 I (217)<br />
1<br />
2 1<br />
( 2<br />
2 1 ) 2I 2 1 =<br />
) A 2 = I 2<br />
2 1 I<br />
( 2<br />
2 1 I) 2<br />
1<br />
2 1<br />
( 2<br />
2 1 ) 2<br />
I 1 2<br />
=<br />
= I(1 2<br />
2 1 )<br />
( 2<br />
2 1 I) 2<br />
= (1 2<br />
2 1 )<br />
( 2<br />
2 1 ) 2I =<br />
2 1<br />
1<br />
2 1 ( 2<br />
2 1 ) 2I 1 2<br />
=<br />
(1 2 ) 1 ( 2 1) 2 2<br />
2 I 1 2<br />
= ( 2 1) 2<br />
(1 2 ) 2<br />
2 I 1 2<br />
=<br />
( 2 1) 2<br />
( 1)( 2 1) 2<br />
2 I 1 2<br />
= ( 2 1) 2 1<br />
( 1)<br />
2<br />
2 I 1 2<br />
=<br />
( 1)( 2 1) 2 1 2<br />
2 I 1 2<br />
= ( 1) 2 1<br />
(<br />
2 2 1 )1 2 2<br />
=<br />
1<br />
( 2I<br />
2 2 1 )1 2<br />
()<br />
2 I 1 2<br />
<br />
A 2 = ( 2 1 ) 2 I (1 2 )<br />
2 1<br />
(218)