第12讲波动率的微笑曲线Word下载.docx
《第12讲波动率的微笑曲线Word下载.docx》由会员分享,可在线阅读,更多相关《第12讲波动率的微笑曲线Word下载.docx(23页珍藏版)》请在冰豆网上搜索。
第12讲波动率的微笑曲线@#@@#@46ObtainingInputsforPatentValuation(获取专利估值的参数)InputValueoftheUnderlyingAssetEstimationProcessPresentValueofCashInflowsfromtakingprojectnow;@#@Thiswillbenoisy,butthataddsvalue.VarianceincashflowsofsimilarassetsorfirmsVarianceinpresentvaluefromcapitalbudgetingsimulation.Optionisexercisedwheninvestmentismade;@#@Costmakinginvestmentontheproject;@#@assumedtobeconstantinpresentvaluedollars.LifeofthepatentCostofdelayVarianceinvalueofunderlyingassetExercisePriceonOptionExpirationoftheOptionDividendYield12:
@#@VolatilitySmiles@#@