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:100124098(2005)0720094206X1,1,2,1,1(1.,300072;2.,300222):,,,,:;;;:F830:A,,;;;,,,,[1],,[2-4]:,30,,;,,,,,;,,,,,,,,,,1NPV,NPV,,,NPV,NPV,,1.1,NPVBlack2ScholesStackelberg237(139)Vol.23,No.720057SystemsEngineeringJul.,2005X:2004211226;:2005203210:(79970039):(19672),,,,,:,NPV,NPV=C11+r-rTNPV=Tt=1Ct(1+r)t-r,,,:,GPV(grosspresentvalue);,GPV;,;,;,11SVXIDDRrRRTTV(PV),,,T,,,,,,,,A-12R2lnVt-lnVt-1,,lnVt-lnVt-1,(øø),n+1,Sii,S,Li=ln(SiöSi-1),s=1n-1ni=1(Li-Lq)2sRS,,R=s3=sS90180[3],V,E[V(t=t)]=Vt=V0eAtSD[Vt]=V0eAt(eR2t-1)1ö2Rt=(VtöVt-1)-1,SD[Rt]=eAt(eR2t-1)1ö2lnVt,:E[lnVt]=lnV0+(A-12R2)t,SD[lnVt]=RtBlack-Scholes,F=Ve-DtN(d1)-Ie-rtN(d2)d1=lnVI+(r+12R2)SRSd2=d1-RS1.2,,,,,,NPV,,,:,597,:,;,NPV,,,(Optiontodefer),;;,,2,,1010,NPVNPV,,,,IT,,,,,:2.1,[4-9],;;,1,3,;,NPVNPV,,,:,,;,,;;;,2.2NPVNPV,10,,,2212345678910()28541.0016698.4016800.0035000.007061.109100.0010660.003500.008450.0072000.00()135383.0044940.80122666.60195000.0015490.8030594.7042250.0013570.0020285.00720000.00(ö)0.710.801.011.410.711.870.983.701.460.42()20345.6613314.1916922.1849371.214994.3717059.0010388.6612951.2112319.5230263.230.210.370.140.180.460.300.250.260.420.100.440.420.390.510.700.770.680.220.300.711()26164.0017520.00251779.00293990.0013585.4080302.0020349.0015351.8961280.79398419.00NPV()50514.0032127.6745516.6074980.359410.0056743.8522358.0041361.9526438.0571841.00NPVö11.931.830.180.260.690.711.112.690.430.18NPV()10649.2011937.506233.8013458.014289.3218677.735641.1010668.1511013.147184.10NPV1.911.122.713.671.161.011.841.211.124.21NPV()99590.0063337.67112433.06182280.3520059.0067122.0045371.0081509.9553299.0572131.00NPV()20995.2423634.0215398.5232716.999143.4019964.5811447.4521023.2022202.467213.10NPV0.970.571.11.510.550.850.910.620.554.20692005NPVNPV,:NPVNPV,,:NPVNPV,,NPVNPV;NPVNPV,,12,10K:10,,,,,45,NPV,310K45,,,,,,,,,,,797,:;,,,,289,66K,NPVNPV,2.310,:,,IT(),,,;NPV,,;,,,NPVNPV,NPV;NPV,,,NPV,,NPVNPV,,NPV3,,,,,,,[10-12],,,,,,,,,,,,,,[2],,,,,,,,,,,,,,,,,DCF,,;,,DCF,,,892005:[1]AmramM,KulatilakaN..:[M]1:,2001.[2],.[J].,2001,(3).[3]DixitA,PindyckR.Investmentunderuncertainty[M].Princeton,NJ:PrincetonUniversityPress,1996.[4]AnYH,ZhangW.Conceptualoptionframework-thebridgeofoptionpricingtheoryandapplicationinprojectinvestment[J].JournalofInformationandSystemScience,2003,(March).[5],.()[M]1:,1993.[6],.[M]1:,1996.[7]BrealeyRA,MyersSC.Principlesoffinancialmanagement[M].McGraw2Hill,1996.[8]CopelandT,KollerT,MurrinJ.Valuation-measuringandmanagingthevalueofcompanies[M].JohnWiley&Sons,1990.[9]DamodaranA.Investmentvaluation:toolsandtechniquesfordeterminingthevalueofanyasset[M].NewYork:JohnWiley&Sons,Inc.,1996.[10].[M]1:,1991.[11].[M]1:,1998.[12],.[M].:,1999.AnEmpiricalStudyonOptionApproachtoProjectInvestmentANYing2hui1,ZHANGWei1,2,XIONGXiong1,JIANGDong2ming1(1.SchoolofManagement,TianjinUniversity,Tianjin300072,China;2.TianjinUniversityofFinanceandEconomics,Tianjin300222,China)Abstract:Optionapproachtoprojectinvestmentisthenewestapproachofinvestmentvaluationanddecision2making,whichisoneofextendedapplicationofoptionpricingtheory.Thetheoryandmethodologybecomemoreandmorecompleteandperfect.Atthesametime,theempiricalstudybecomesthemostimportantcontent.ThethesisdoesempiricalresearchonChineseprojectinvestmentunderempiricalframework.Keywords:ProjectInvestment;Valuation;RealOption;EmpiricalStudy997,: