基于实物期权理论的R&D项目投资决策模型

R&D project investment decision model based on real option theory

文章利用实物期权理论,量化了R&D项目投资决策中的技术风险、经济风险和突发风险等不确定性,并结合了跳跃-扩散与信息披露过程的影响,通过分析竞争市场中企业自身与竞争者的投资决策,构建了一类竞争市场情景中R&D项目4种投资决策模型来计算投资决策收益。结果表明:通过对投资时机和决策收益的精确评估得到的R&D项目最佳投资决策,对R&D项目的投资决策分析具有重要的参考价值,并保证了企业的竞争优势和收益最大化。

By the utilization of European option, this paper quantifies the technical risk, economic risk and sudden risk in view of the jump-diffusion and information revelation process. By analyzing the in- vestment decisions of enterprises themselves and competitors in the market, four kinds of R＆D pro- ject investment decision payoff models in competition are established. The result shows that the optireal investment decision on the R＆D project which is based on the accurate valuation of the invest- ment timing and the payoffs has an important reference value and is helpful for enterprises~ keeping competitive advantage and maximizing the benefits.