基于嵌入期权现金流量图的实物期权分析  

Real Option Analysis Based on Embedded Option Cash Flow Chart

作　　者：孟力[1] 王崇喜[2] 汪定伟[1] 张爱玲[2] 

机构地区：[1]东北大学信息科学与工程学院,辽宁沈阳110004 [2]沈阳工业大学管理学院,辽宁沈阳110023

出　　处：《东北大学学报（自然科学版）》2003年第9期889-891,共3页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(60084003);辽宁省教育厅重大软科学基金资助项目(20144323).

摘　　要：针对高新技术企业发展的特点:研制周期长、投资费用高、每阶段风险水平特征差别大,运用实物期权理论与计算方法,通过研究建立嵌入期权现金流量图,深入分析计算了企业发展中风险投资的最优策略、股权占有比例问题,对不确定性问题由于采用了Black Scholes期权定价公式以及McDonald和Siegel是否继续生产期权计算公式,所以计算结果比基于传统的现金流量图的NPV方法更加客观、科学,同时按照风险投资经验法则计算出的股权占有比例合理且易于接受,可为企业风险投资实践活动提供数量分析支持·New high technology corporations have these characteristics: long R&D duration, high investment cost and big difference of risk level between each and every step. Real option theory was thus applied to analyzing quantitatively the optimal strategy and the ratio of stock right in venture investment by way of building an embedded option cash flow chart. Using BlackScholes option pricing expression and McDonald & Siegel option pricing model for whether to yield or not instead of the traditional NPV method, the results are more objective and reasonable under uncertain conditions. The ratio of stock right calculated according to the empirical rules of the venture investment is sound and easy to accept. So it will give a quantitative analysis support to the venture investment practice.

关 键 词：风险投资 实物期权 期权定价 

分 类 号：F235.2[经济管理—会计学]