基于复合期权的R&D项目投资评价  

Study on the Investment Evaluation of R&D Projects Based on Compound Option

作　　者：冯晨娇[1] 刘维奇[1] 

机构地区：[1]山西大学数学科学学院,太原030006

出　　处：《研究与发展管理》2008年第2期91-96,113,共7页R&D Management

摘　　要：如何评价R&D项目已成为理论界和实业界关注的焦点.人们越来越多地应用实物期权方法代替传统的净现值(NPV)法.实物期权能够灵活地评价项目未来的增长机会,而净现值法往往忽视期权价值,可能导致R&D项目价值的低估.由于研发项目一般是多阶段的,可以用多个实物期权的复合期权来建立相应的数学模型.采用复合期权方法评价R&D项目投资,为了方法的适用性和可操作性,假定R&D项目收益服从随机跳扩散模型,R&D项目投资各阶段波动率不同,每一阶段都具有常数波动率.How to evaluate an R＆D project already become a crucial topic in theorists and the industrial world. The traditional net present value （NPV） analysis it insufficient, more and more poople applied real option method instead of NPV analysis. The real option is able to appraise nimbly the growth opportunity for project future, but NPV analysis often neglect this value, it possibly will cause the R＆D project value underestimated. Therefore, the real option method is extremely essential in R＆D project. Because the R＆D project is generally the multi-stages, it may use compound option of many real options to establish the corresponding mathematical model Using the feasibility, it supposes R＆D project income to obey stochastic-jump diffusion model. The volatihty of R＆D project invests is different with various stages and each stage all has the constant volatility.

关 键 词：R&D项目 复合期权 跳-扩散过程 波动率 

分 类 号：F830.59[经济管理—金融学]