【基於实物期权理论的R﹠D项目投资决策研究】许民利.pdf

Dissertation SubmittedtotheFacultyoftheGraduatedSchoolof HuazhongUniversity of Science andTechnology InPartialFulfillmentoftheRequirementfor TheDegreeof theDoctorofPhilosophyin ManagementScience and Engineering ResearchofRDProjectInvestment Decision Based on Real Options Theory Ph.D.

华中科技大学博士学位论文在扩展的净现值(ENPV)公式基础上,构建了离散状态下的RD投资决策的实物期权框架:二叉树模型与Black-Scholes模型结合,构建立了一个评价RD投资决策的综合模型,二叉树模型用于评价RD投资过程中的时机投资期权,Black-Scholes模型用于评价后续项目的增长期权的价值,该模型结合了二叉树模型与Black-Scholes模型的优点。模型由五个部分构成,分五步进行求解,设计了求解模型的软件,并进行了实例分析。

华中科技大学博士学位论文 someoptionsvalueisincludedintheRDprojectvalue.The optionsbasesofRD investment,perfect market assumption,parameters estimation,RD phases dividing, andoptionsincludedintheRDprojects arestudied.Arealoptionsframeworkof RDinvestmentdecisionindiscrete-timeisbuilt.