A project finance option design under asymmetric information and its martingale analysis

摘要

In China, big share holders often invade mid-small share holders' benefits counting on their privilege information under asymmetric information, it is much more difficult for a Chinese to have a stock partnership with stranger, and therefore, many potentially perfect projects can not raise enough funds to be carried on. An exotic option finance structure is proposed to handle this problem to protect mid-small share holders' benefits and to raise funds for their projects. However, this finance structure would bring difficulties when making investment decisions in the traditional method, therefore a martingale analysis is provided and an example is given.