International Congress "MATHEMATICS in XXI century. The role of the MMD of NSU in science, education, and business."

25-28 June 2003, Novosibirsk Akademgorodok .

Discussion on the role of mathematics

Abstracts

The perspectives of applications of mathematics in industry, economics, etc.

Application of option pricing and mathematical methods for valuation of information

Kozyrev A.N.

Central Economico Mathematical Institute of RAS (Moscow)

The practical method of a cost estimation of the information, first of all technical archives of the enterprises is offered, on the basis of application of methods of calculation of the prices on real options. It is supposed, that the prices for the equipment subject in case of breakage to replacement or repair, change in due course. Changes of the prices have lognormal distribution. The probability of breakage grows in process of ageing the equipment. The offered model of an estimation assumes two stages. At the first stage the set built - in real оционов, arising is estimated provided that damage will take place in any concrete year. For the valuation Black Scholes model with date of execution in the appropriate year is used. At the second stage valuation of the asset (information) turn out. (More detailed text will be placed later).

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