摘要
研究与开发(Research and Development,R&D)投资、传统贴现现金流量(DiscountedCash Flow,DCF)方法忽略了项目自身管理弹性的价值;实物期权虽能较好地捕捉管理弹性的价值,却未能有效解决高度不确定环境下参变量的波动性问题;蒙特卡罗模拟能解决参变量的波动性问题,但需要复杂的计算机程序来解决算法问题.作者在分析实物期权的基础上,运用蒙特卡罗理论,使用水晶球软件来进行R&D决策分析.通过实例证明,水晶球模拟方法可以更为科学有效地解决高度不确定条件下的R&D决策问题.
As for R＆D investment, the conventional discounted cash flow （DCF） methods fail to consider the value of managerial flexibility provided by R＆D projects. Real options analysis （ROA） offers a superior way of capturing the value of flexibility, but ROA can＇t effectively deal with the volatility of parameters in itself under high uncertain circumstance. Monte Carlo simulation can settle the parameters volatility problems, while it usually need very complicated computer programming languages to solve arithmetic problems. Basing on ROA theory, applying Monte Carlo simulation method, this paper uses Crystal Ball to improve R＆D investment decisions. The case study proves that Crystal Ball can deal with R＆D decision effectively under high uncertainty.
出处
《陕西科技大学学报（自然科学版）》
2009年第5期24-28,共5页
Journal of Shaanxi University of Science & Technology
基金
陕西科技大学校级自选项目(编号ZX07-45)
关键词
研发投资
实物期权
蒙特卡罗模拟
水晶球
R＆D investment
real options analysis
Monte Carlo simulation
Crystal Ball
