Valuing Risky Projects: Option Pricing Theory and Decision Analysis
比较了风险调整贴现率、期权定价和决策分析三种评估风险项目的方法，证明正确应用时期权定价与决策分析结果一致，并探讨如何将两者结合以处理可对冲风险和不完全市场问题。
In the academic literature and professional practice, there are a number of alternative and apparently competing methods for valuing risky projects. In this paper, we compare and contrast three different approaches: risk-adjusted discount-rate analysis, option pricing analysis, and decision analysis, focusing on the last two. We show that, in contrast to some of the claims made in the “real options” literature, when both option pricing and decision analysis methods are correctly applied, they must give consistent results. We also explore ways in which option pricing and decision analysis methods can be profitably integrated. In particular, we show how option pricing techniques can be used to simplify decision analysis when some risks can be hedged by trading and, conversely, how decision analysis techniques can be used to extend option pricing techniques to problems with incomplete securities markets.