基于分形期权理论的船舶投资决策研究

船舶作为航运企业最重要的生产资料，其前期的投资决策分析至关重要.一直以来，船舶投资风险价值的计算是困扰人们的问题之一，实物期权理论与B-S定价模型的发展为其提供了一个解决办法.但B-S 定价模型中最重要的假设条件是资产价格波动符合正态分布，这与现实差距较大.本文以分形分布条件代替B-S定价模型中正态分布的假设，建立起分形期权定价模型，并利用BDI价格指数进行实证分析.结果证明BDI对数收益率序列的H指数大于0.5，说明BDI收益具有较强记忆性，呈现尖峰胖尾特征.在此条件下，以传统B-S定价模型计算出的船舶投资实物期权价值大于分形期权价值，说明其高估了船舶投资的管理柔性价值，这会使投资者产生盲目乐观心理，进而增大投资决策风险.

Empirical Study on Ships Investment Decisions Based on Fractal Option Theory

As the most important means of production, the early investment decision analysis of ships is vital to shipping company. All along, the calculated of investment risk value of the ship is one problem plagued to people. The development of real options theory and B-S pricing model provide a solution, but the most important assumption of B-S pricing model is that asset price volatility in line with the normal distribution which has a large gap between realities. The fractal option pricing model is established, and the fractal distribution assumption is chose in lieu of the normal assumption in B-S pricing model. Then the BDI index is used as empirical analysis. The result shows that H index of BDI logarithm yield sequence is greater than 0.5. On this condition, the ship investment real option value based on traditional B-S pricing model is greater than the fractal options value. This proves that B-S pricing model overestimate the real risk value of ship investment. Finally investors are prone to have psychological of blind optimism and increasing investment risk.