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《Journal of Systems Engineering》 2001-01
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Theory of fractal Brownian motion (FBM) on investment decision making

CAO Hong duo 1,HAN Wen xiu,LI Ying (1.Institute of Systems Engineering, Tianjin University, Tianjin 300072, China; 2.School of Construction Engineering, Tianjin University, Tianjin 300072, China)  
The pricing model of investment opportunity, regarded as a kind of option on the basis of the option theory, can be formed through the Black Scholes formula. But Ito differential equation is changed and the Black Scholes formula is no longer in force when the project value (V)and initial investment expenditure(C) follow FBM of H index(H≠1/2). The influence of H index on making investment decision is discussed. Finally, steps and tactics to make investment decision are formed on the basis of H index.
【Fund】: 国家自然基金资助项目 !(79970 0 43 )
【CateGory Index】: F830.59
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