【摘要】 针对R&D项目投资的特点,探讨了采用布莱克一舒尔斯期权定价模型对R&D项目价值评估可能存在的缺陷,并提出一种改进方法,即将决策树和布莱克一舒尔斯定价模型结合运用,因为决策树能够模拟研发项目的阶段性决策过程,考虑到多个离散型不确定性因素的相关性,模拟并计算出对决策路径依赖的现金流,因此能克服纯粹使用布莱克一舒尔斯公式的不足,在考虑多个不确定性因素的影响下,实现对多阶段R&D项目价值的评估,作出正确的投资决策。更多还原

【Abstract】 This paper discusses the possible limitation of the evaluation on the R&&D project that adopts Black-Scholes option pricing model and puts forward a means of improvement. We combine the decision-making tree and Black-Scholes option pricing model. Because decision-making tree can simulate the phased decision-making process of the R&&D project, and fully consider the relativity of several dispersed uncertain factors. Finally, we simulate and calculate the cash flow which is reliant to the decision-making path. Therefore, the insufficiency of only use of the Black-Scholes formula can be overcome. Affected by taking various uncertain factors into account, we achieve the multi-phase project evaluation, and make proper investment decision.更多还原