【摘要】 在有专利情况下,开发了一个R&D投资模型,结合R&D投资过程的特点,把R&D投资过程分为两个阶段,一个是研究阶段被模型为欧式期权,另一个是开发阶段被模型为永生美式期权,从而把R&D项目投资机会模型为复合期权,给出了R&D期权价值的解析评价公式和最优投资决策规则,并讨论专利宽度(Patent Breadth)对R&D期权价值和R&D项目投资决策的影响,以及申请专利的条件.更多还原

【Abstract】 The investment model of R&D project with patent is developed in the paper.The R&D investment process divides into two stages by the characteristics of R&D investment process.The research stage is considered as an European option.The development stage is considered as an American perpetual option.Therefore the investment opportunity in R&D can be thought of as a compound option.The analytic valuation formula for the R&D option and optimal investment policy are derived.It is discussed that the effect of the patent breadth on the R&D option value and R&D investment policy,and presents the condition to apply for a patent.更多还原