多阶段复合期权模型在新药研发中的应用研究  

Research on Application of Multi-stage Compound Option Model in New-Drug Research and Development

作　　者：骆桦[1] 徐舒[1] 

机构地区：[1]浙江理工大学理学院,杭州310018

出　　处：《浙江理工大学学报（自然科学版）》2014年第5期539-545,共7页Journal of Zhejiang Sci-Tech University(Natural Sciences)

基　　金：国家自然科学基金(60903143)

摘　　要：考虑到新药研发周期长和高度的不确定性的特点,在实物期权理论的基础上建立了多阶段复合期权的评价模型,针对二阶段定价模型的不足,提出了各阶段波动率不同的三阶段定价模型,并得到其封闭解。最后用改进的三阶段变波动率复合期权模型来评估一个新药研发项目的价值,计算结果表明模型具有较好的实用性。Considering the characteristics of long period and high uncertainty of new drug research and development, we establish a multi-stage compound option evaluation model based on real option theory to improve the shortcomings of the pricing model in the first and second stages. Besides, we propose three-stage pricing model with different volatilities in each stage and gain the closed-form solution. Finally, we use the improved three-stage compound option model to evaluate the value of a new drug research and development project. The results show that the model has excellent practicability.

关 键 词：多阶段复合期权 新药研发 变波动率 应用研究 

分 类 号：F830.59[经济管理—金融学]