The valuation of top limited uncertain interest based on Monte Carlo simulation

被引：0
|
作者：
Hu, Kui [1 ]
Liang, Xun [1 ]
Li, Nan [1 ]
机构：
[1] Peking Univ, Inst Comp Sci & Technol, Beijing 100871, Peoples R China
来源：
INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION, VOLS 1 AND 2 | 2007年
关键词：
exotic options; Monte Carlo simulation; real options; option pricing; venture capital;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we introduce the Top Limited uncertain interest, and define it as a kind of exotic options. Then we propose a method to valuate the options with Monte Carlo Simulation. We demonstrate a real example from one of China venture capital policies. Our work enriches the exotic option theory, and it's a remarkable step towards the quantitative analysis of public policies using option theory.
引用
收藏
页码：1052 / 1057
页数：6
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