分阶段研发项目价值实物期权评估的模糊优化

Fuzzy Optimization of Real Options Valuation for Multi-phase R&D Project

为了改善研发项目价值评估的刚性化,以最大限度地挖掘项目价值,可以将模糊理论的柔性特征结合实物期权评估方法.对于风险高、耗时长的项目,首先寻找一个分阶段的组合期权,然后将其中的各参数根据梯形模糊数原理作模糊化处理,并用模糊算法修正该组合期权模型.数值算例的结果表明,净现值法评估和不分阶段的模糊期权定价都显然低估了风险价值,而分阶段模糊组合期权定价能够最大限度地发现项目潜在价值.参数模糊化和分阶段组合期权的模糊算法是关键点和创新点.

To improve the rigidization in valuating the research ＆ development （R＆D） project, and to discovery the value of proiect to the fullest extent, the combination of the flexibility of fuzzy theory and real options valuation is available. For the projects with high venture and long time-limit, a multi-phase option portfolio was constructed firstly, then optimizing its parameters according to the principle of trapezoid fuzzy number, and amending this portfolio model with related fuzzy arithmetic. The results of numeric example show that NPV valuation and single-phase fuzzy valuation undervalue the venturers worthiness, while the multi-phase fuzzy option portfolio can find out the furthest potential value of project. Fuzzy optimization of parameters and fuzzy arithmetic of multi-phase option portfolio are the key and original points.