实物期权理论在研发项目投资决策中的应用

Application of real options theory in research and development project investment decisions

提出了一种基于实物期权理论的研发项目投资决策方法.研发项目投资具有未来收益不确定性、投资成本不可逆性、投资管理的灵活性等特征,由于研发项目投资的经济价值包括获得市场高收益、期权价值等,利用实物期权理论对研发项目进行评价不仅能克服贴现现金流法的不足,而且能使研发投资决策更加科学合理.在阐述研发项目投资特征的基础上,构建了适合研发项目的期权定价模型,案例分析证明了该方法的有效性,最后对模型参数进行了敏感性分析.

A method for research and development project decision making based on real option theory is presented. Research and development project considers the uncetainty in future benefits, the irreversibil- ity investment cost and the investment management flexibility. The economic value of research and devel- opment project includes maketing high income and the option value. Using real option theory to research and development project evaluation can not only overcome the inadequacy of discounted cash flow, but also make research and development project investment decision making more scientific and rational. A research and development project real option pricing model based on research and development project characteris- tics is given. The availability of the proposed method is verified by analyzing the numerical example. Final ly, sensitivity analysis of the model parameters is done.