期权定价理论在R&D项目投资决策中的应用再探讨  

The Research of Applying the Option Pricing Theory in Investment Decision of R&D Project

作　　者：阳向军[1] 杨善朝[2] 

机构地区：[1]广西师范大学计算机科学与信息工程学院,广西桂林541004 [2]广西师范大学数学科学学院,广西桂林541004

出　　处：《科学学与科学技术管理》2007年第12期27-31,共5页Science of Science and Management of S.& T.

基　　金：广西自然科学研究基金项目(0728091)

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,提出将R&D投资项目视为障碍期权,并采用非参数核估计方法进行数值模拟。How to estimate the value of R＆D projects is a crucial issue in making an investment decision. We analyze the R＆D projects with the option pricing theory, and try to establish a mathematical model to assess the investment value of such projects. We pay more attention to the case that the future value of project doesn＇t obey lognormal distribution, which the compound option model proposed by Geske is unfit. In order to simulate conveniently, we propose that the R＆D investment project should be regarded as a barrier option and use the simulation method of nonparamettic kernel estimation.

关 键 词：期权定价 R&D项目投资 障碍期权 非参数核估计 

分 类 号：F062.4[经济管理—政治经济学]