一类含经营成本的研发项目的不确定性投资  

Uncertain investment in R&D projects with operating system

作　　者：殷宝健[1] 胡适耕[1] 胡飞[1] 

机构地区：[1]华中科技大学数学系,湖北武汉430074

出　　处：《华中科技大学学报（自然科学版）》2005年第5期103-105,共3页Journal of Huazhong University of Science and Technology(Natural Science Edition)

基　　金：国家自然科学基金资助项目(70301003).

摘　　要：把经营成本引入到企业对研发项目的不确定性投资中,以产品价格遵循几何布朗运动——跳跃过程来模拟突发事件对其造成的不确定性特点,并用实物期权方法评估了具有这类不确定性变化的项目的价值和项目的投资期权价值,分析了突发事件发生的不确定性对企业研发项目投资决策的影响.Assuming that the output price follows the Geometric Brownian Motion with Jumps, this paper introduced an operating cost into a firm′s investment in the R&D projects to simulate its uncertainty features coming from the occurrence of sudden events in the R&D project. The real options method to estimate the value of the project and the value of the project to invest was used, and the influence of the uncertainty of the occurrence of sudden events on the investment in the R&D project.

关 键 词：最优投资决策 经营成本 突发事件 研发项目 

分 类 号：O221.3[理学—运筹学与控制论]