基于实物期权法的海域使用权定价研究

闻德美, 姜旭朝, 孟科学

Valuation of the right to use sea areas based on the real options approach

WEN Demei,JIANG Xuzhao,MENG Kexue

表 8 参数敏感性分析结果

Table 8 Results of parametre sensitivity analysis （万元/hm2）

贴现率ρ和 波动率σ 2013年海域使用权价格 投资临界比 临界值对应的海域使用权价格 价值漏损率δ 价值漏损率δ 价值漏损率δ 0.05 0.08 0.10 0.15 0.05 0.08 0.10 0.15 0.05 0.08 0.10 0.15 ρ=0.2,σ=0.05 95.29 88.04 87.94 87.94 4.03 2.53 2.02 1.36 188.23 94.69 63.59 22.62 ρ=0.2,σ=0.10 95.81 88.20 87.94 87.94 4.13 2.60 2.10 1.44 194.36 99.39 67.99 27.43 ρ=0.2,σ=0.15 96.64 88.57 87.94 87.94 4.29 2.72 2.21 1.55 204.37 106.88 74.83 33.87 ρ=0.2,σ=0.20 97.75 89.22 87.94 87.94 4.51 2.88 2.35 1.67 218.06 116.84 83.67 41.37 ρ=0.2,σ=0.25 99.09 90.15 88.03 87.94 4.79 3.08 2.52 1.80 235.19 128.99 94.22 49.74 ρ=0.317,σ=0.05 105.57 95.02 90.72 87.94 6.37 3.98 3.19 2.13 333.22 185.14 135.79 70.06 ρ=0.317,σ=0.10 105.89 95.35 91.00 87.94 6.46 4.05 3.24 2.18 338.72 188.99 139.15 72.92 ρ=0.317,σ=0.15 106.39 95.89 91.48 87.94 6.61 4.15 3.33 2.25 347.84 195.49 144.64 77.47 ρ=0.317,σ=0.20 107.07 96.62 92.13 87.94 6.81 4.29 3.45 2.35 360.48 204.07 152.14 83.51 ρ=0.317,σ=0.25 107.91 97.52 92.96 87.96 7.07 4.47 3.60 2.46 376.56 215.08 161.51 90.85 ρ=0.4,σ=0.05 110.70 100.15 95.20 88.43 8.03 5.02 4.02 2.68 436.17 249.44 187.20 104.25 ρ=0.4,σ=0.10 110.93 100.41 95.46 88.56 8.11 5.08 4.07 2.72 441.47 253.06 190.28 106.70 ρ=0.4,σ=0.15 111.30 100.84 95.89 88.80 8.26 5.17 4.15 2.78 450.28 259.04 195.37 110.69 ρ=0.4,σ=0.20 111.81 101.42 96.48 89.17 8.45 5.31 4.26 2.87 462.55 267.34 202.39 116.12 ρ=0.4,σ=0.25 112.43 102.14 97.21 89.67 8.71 5.48 4.40 2.98 478.21 277.88 211.26 122.88