基于复合期权的R&D项目投资评价被引量：9

Study on the Investment Evaluation of R&D Projects Based on Compound Option

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摘要如何评价R&D项目已成为理论界和实业界关注的焦点.人们越来越多地应用实物期权方法代替传统的净现值(NPV)法.实物期权能够灵活地评价项目未来的增长机会,而净现值法往往忽视期权价值,可能导致R&D项目价值的低估.由于研发项目一般是多阶段的,可以用多个实物期权的复合期权来建立相应的数学模型.采用复合期权方法评价R&D项目投资,为了方法的适用性和可操作性,假定R&D项目收益服从随机跳扩散模型,R&D项目投资各阶段波动率不同,每一阶段都具有常数波动率. How to evaluate an R＆D project already become a crucial topic in theorists and the industrial world. The traditional net present value （NPV） analysis it insufficient, more and more poople applied real option method instead of NPV analysis. The real option is able to appraise nimbly the growth opportunity for project future, but NPV analysis often neglect this value, it possibly will cause the R＆D project value underestimated. Therefore, the real option method is extremely essential in R＆D project. Because the R＆D project is generally the multi-stages, it may use compound option of many real options to establish the corresponding mathematical model Using the feasibility, it supposes R＆D project income to obey stochastic-jump diffusion model. The volatihty of R＆D project invests is different with various stages and each stage all has the constant volatility.

作者冯晨娇刘维奇

机构地区山西大学数学科学学院

出处《研究与发展管理》 CSSCI 北大核心 2008年第2期91-96,113,共7页 R&D Management

关键词 R&D项目复合期权跳-扩散过程波动率 R＆D projects compound options jump-diffusion process volatility

分类号 F830.59 [经济管理—金融学]

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参考文献19

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