THE GAMMA MODEL OF REAL OPTION PRICING ON THE ENTROPY AND ITS APPLICATION TO PROJECT INVESTMENTS DECISION

摘要

In this paper, a new model of option pricing, namely Gamma model is applied to the real option pricing. By the risk-neutral principle and the maximum entropy principle, the model overcomes the two weaknesses of Black-Scholes model of the traditional pricing model of real option. Finally, an example of investment decision of IT project is illustrated the application value of the model in investment project management.