【作者】 张金亮；

【导师】 唐万生；

【作者基本信息】 天津大学 ， 系统工程， 2006， 硕士

【摘要】 R&D已经成为企业核心竞争力的重要组成部分，在企业活动中的作用也越来越显著。因此R&D项目的投资评价也变的越来越重要。R&D项目一般具有高的不确定性，且不能立即给予回报，这样就很难正确评价这类投资，但其能够创造未来的投资机会，这是很有利的。而以折现现金流(DCF)为代表的一些传统评估方法则由于忽视了其中的经营柔性的价值，因而往往会造成对项目价值的低估。人们希望有一种更加有效的项目评价理论和方法能够替代DCF法。实物期权理论的出现与发展为R&D的投资评价提供了一种革命性的工具。基于这一研究背景，本文做了如下主要工作： 第一，介绍了期权和实物期权的基本概念、特点，讨论了如何把实物期权思想融入R&D投资评价中。将实物期权与传统的评估工具加以对比，分析了实物期权评估在R&D项目评估中的优越性，同时也对应用实物期权评估所必须解决和克服的难题进行了归纳。 第二，分析了应该从哪些方面考虑R&D项目的价值，如何计算这些价值，用什么模型更合适，并在介绍了相关的理论和模型之后，给出了说明性的例子。 第三，重点分析了如何在随机模糊环境下评价R&D项目的价值，采用跳跃过程来描述R&D项目标的资产价值的变化，在此基础上提出了随机模糊跳跃模型来评价R&D项目的价值，并用随机模糊模拟来求解该模型，同时给出了实例分析。更多还原

【Abstract】 R&D has been the very important part of core competence of enterprises and its function has become more and more prominent. As a result, investment evaluation of R&D project is increasingly significant. R&D project generally has such characteristic as high uncertain and no immediate return that it is hard to evaluate its value correctly. But R&D can create future investment opportunities which are valuable. The traditionlly evaluating method represented by Discount Cash Flow (DCF) always underestimates the value of R&D project, because it ignores the value of operation option embodied in the project. So, it is hoped to find a more effective evaluation theory and method which can replace DCF method. The advent and development of real option theory provide a revolutionary tool for R&D investment evaluation. Based on the research background, this thesis has carried out the following work:Firstly, this thesis has introduced the basic concepts and characteristics of option and real option and discussed how to apply the real option theory to R&D investment evaluation. And it has analyzed the advantage of the real option evaluation through comparing real option and traditional evaluation tools. Meanwhile, it has summed up the difficult problems which have to be solved when applying real option evaluation.Secondly, this thesis has analyzed which aspects we should consider the project value of R&D from and how to choose the correct mode to computer the value. Then it has introduced the relative theories and models and provided illustrative examples.Thirdly, this thesis has analyzed how to evaluate the value of R&D project under the random fuzzy environment. It has applied jump process to depict the motion of underlying assets of the R&D projects. And based on this, it has developed a random fuzzy jump model to evaluate the valueof R&D project, applied random fuzzy simulation to solve the model and provided an illustrative example.更多还原