基于模糊复合实物期权方法的研发项目投资决策研究

A Research on Investment Decision of R&D Project Based on Fuzzy Compound Real Option Method

文章利用模糊复合实物期权方法研究研发项目的投资决策问题。首先,引入技术不确定性变量,采用跳扩散模型刻画同时含有市场风险和技术风险的研发投资项目收益,构建项目价值评估和决策的多重复合实物期权模型,并推导投资项目价值的显式解析公式和给出各决策时间点的决策方法。然后,考虑投资成本、收益和技术风险发生强度等参数的模糊性,进一步建立价值评估和投资决策的模糊复合期权模型,给出模糊价值的任意水平截集。最后,通过一个数值例子来说明模型的应用,结果表明模糊复合实物期权方法能够为研发项目投资决策提供更科学的依据。

This paper studies the investment decision-making of R&D projects by using the method of fuzzy compound real options.Firstly,the paper introduces a technology uncertainty variable,uses a jump-diffusion model to describe the income of R&D investment project with both market risk and technology risk,then constructs a multi-fold compound real options model for evaluation and decision-making,and deduces the explicit analytical formula of investment project value and gives the decision-making method at each decision-making time.Then,considering the fuzziness of the parameters such as investment cost,income and the intensity of technological risk,the fuzzy compound real options model for value evaluation and investment decision is further established,and an arbitrary level cut of the fuzzy value is presented.Finally,a numerical example is given to illustrate the application of the model.The results show that the fuzzy compound real option method can provide a more scientific basis for the investment decision of R&D projects.