期权定价理论在R&D项目投资决策中的应用探讨  

The Application of Option Pricing Theory in R&D Project Investment Decision

作　　者：阳向军[1] 杨善朝[1] 

机构地区：[1]广西师范大学数学与计算机学院,广西桂林541004

出　　处：《商业研究》2006年第17期50-53,共4页Commercial Research

基　　金：广西自然科学研究基金项目;项目编号:04047033

摘　　要：如何评价R&D项目投资是R&D项目决策的关键。应用期权定价理论分析R&D投资项目,建立了求解其内含投资机会价值的数学模型,重点考虑了项目未来价值不服从几何布朗运动(即对数正态分布)的情况,此时复合期权的Geske定价公式不再适用,为了便于数值模拟,将R&D投资项目视为障碍期权。How to evaluate R＆D projects is crucial in the investment decision making. By assessing R＆D project with option pricing theory, the paper establishes a mathematical model to calculate the investment value of such projects. There are several conditions cause project future value not to follow lognormal distribution, The compound option model proposed by Geske is no longer appropriate in this case. In order to simulate conveniently in mathematics , an R＆D investment project should be regarded as a barrier option.

关 键 词：期权定价 R&D项目投资决策 障碍期权 期权价值 

分 类 号：F224.9[经济管理—国民经济]