Real option analysis in a replicating portfolio perspective
从复制组合视角出发，将实物期权分析与期权定价理论的基本原理明确关联，解释了实物期权如何适应项目风险变化，并说明如何处理非市场风险，对从事投资估值和风险分析的学者有参考价值。
In the last decades, a vast body of literature has arisen on real option analysis (ROA). The use of di¤erent approaches and the often implicit adoption of major assumptions may cause confusion on what ROA precisely entails, or in which situations it may be applied. We assess the �eld of real option analysis by explicitly linking ROA to the basic principles of option pricing theory and the replicating portfolio concept. From this perspective, we explain how real options adjust to the varying risk pro�les of a project, a feature not available in other valuation methods. We also clarify how non-market risks can be dealt with in ROA. We show that a combination of option pricing and decision tree analysis enables us to treat a broad range of investment problems, in a manner that is consistent with pricing theory.