企业R&D项目评价的蒙特卡罗模拟方法及其应用  

Study on Monte Carlo simulation methods for pricing R&D project of the firms and its application

作　　者：马俊海[1] 刘凤琴[1] 楼梦丹[1] 

机构地区：[1]浙江财经学院,杭州310018

出　　处：《系统工程理论与实践》2008年第10期31-39,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金项目"金融衍生证券定价的蒙特卡罗模拟方法及其应用(70571068)"

摘　　要：主要针对企业R&D项目通常所具有的复杂或美式的实物期权特征,运用基于最小二乘估计思想的改进型蒙特卡罗模拟方法对其价值评价问题进行研究与探讨.首先,对企业R&D项目理论评价模型和蒙特卡罗模拟过程进行系统研究探讨;在此基础上,通过生物医药制造企业的R&D项目评价进行实际模拟分析.研究结论认为,相对于其它数值分析而言,蒙特卡罗模拟将成为解决企业R&D项目评价问题的一种更为有效的分析方法.In this paper, according to complex and American-Style real option characteristic of R＆D project for many finns, we will research and analyse the valuation of real option embed in these R＆D by using modified Monte Carlo simulation basing on least-square method. Firstly, the theoretical valuling model of R＆D project and its Monte Carlo simulation process are explored. On the basic of the above analysis, we will also give a practical study by using a real case on R＆D project for a biological technique finn. The conclusion of this paper is that Monte Carlo simulation will be an effective method for pricing R＆D project, compared to other numerical analysis methods.

关 键 词：R&D项目评价 实物期权方法 蒙特卡罗模拟 不确定性 

分 类 号：F830.91[经济管理—金融学]