考虑价值漏损的研发项目实物期权定价模型  

Pricing method of real option for research and development project on considering value leakage

作　　者：郭子雪[1] 李小彦[1] 

机构地区：[1]河北大学管理学院,河北保定071002

出　　处：《计算机工程与应用》2012年第36期245-248,共4页Computer Engineering and Applications

基　　金：国家社会科学基金项目(No.11BGL089);河北省软科学项目(No.11457250);河北大学人文社会科学引进人才科研启动基金(No.1009117)

摘　　要：提出了一种考虑价值漏损的研发项目期权定价决策模型。针对研发项目投资决策中隐含的扩张期权,以及期权中以现金流或便利收益存在的价值漏损,在传统的二叉树定价模型的基础上,给出了包含价值漏损的单期、两期和三期二叉树期权定价方法,建立了考虑价值漏损的研发项目期权定价模型。通过算例将两种结果进行了比较分析,结果表明考虑价值漏损的实物期权定价能更准确、有效地估算研发项目的价值。A model for research and development project option pricing decision making on considering value leakage is presented. According to research and development project investment decision in the underlying expansion options, as well as the option to exist as cash flow or convenience returns of value leakage and on the basis of traditional binomial tree pricing model, the single period, two stage and three phase binomial tree pricing method including value leakage is given. The option pricing model of research and development on value leakage is established. The avail- ability and accuracy of the option pricing method on value leakage are verified by analyzing the numerical example.

关 键 词：研发项目 实物期权 二叉树模型 价值漏损 

分 类 号：F224[经济管理—国民经济]