【作者】 马风华；

【导师】 胡燕京；

【作者基本信息】 青岛大学 ， 金融学， 2004， 硕士

【摘要】 本文首先对研究与开发(Research & Development，简称R&D)对我国经济发展的重要性进行阐述，阐明了研究的目的和意义，确定本文要研究的问题是R&D项目的价值评估问题。本文中研究的主要内容是：回顾R&D项目的评估理论与方法；介绍实物期权方法及其在R&D项目评估中的应用；用实物期权方法构造R&D项目价值评估体系；对模型进行实证分析，确定最优的价值评估模型。 研究与开发(R&D)是企业获得核心竞争力和经济效益、求得生存和发展的基础，是企业长期发展战略的重要组成部分。如何评价R&D项目投资已成为目前理论界关注的一个热点。对R&D项目投资的基本评价方法—贴现现金流法(DCF)越来越不能适应R&D项目管理的复杂性和不确定性，不能根据市场的变化对决策做出调整，从而受到很多人的质疑。实物期权方法在R&D项目投资中的应用除了考虑现金流时间价值为基础的项目价值外，还充分考虑了项目投资的时间价值和管理柔性以及减少不确定性的信息带来的价值，这为完整的评价RaD项目的整体价值提供了重要依据。 对实物期权方法的研究目前国内还处于起步阶段，本文借鉴了国外的研究成果，就实物期权方法及其在R&D投资中的应用进行了初步的探讨，对R&D项目进行了实物期权分析和期权要素分析。 我们将对在连续时间状态和离散时间状态下的R&D项目构建实物期权评估模型。在连续状态下，R&D项目投资具有典型的复合增长期权的特点，根据Oeske(1979)的复合期权模型和Bellalah(2001)的有信息成本的复合期权模型，建立了无信息成本和有信息成本时R&D项目的评估模型；并根据项目价值随机变化的特征，按金融期权定价的方法，导出了投资期权价值遵循的微分方程及相应的边界条件，得到在信息不确定下R&D项目的最佳投资准则。通过扩展Cox、Ross和Rubinstein(1979)的二叉树模型，说明了离散时间下实物期权定价的方法及其在考虑了管理灵活性评估中的信息成本时在R&D项目评估中的应用。 本文为R&D投资项目的投资决策提供了全新的分析思路与框架，将对R&D投资摘要有重要的理论意义和实践意义。更多还原

【Abstract】 This paper firstly illustrates the importance of research and development for the economic development in our country, clarifies the objective and significance of this paper and ascertain that the content of this paper is to review the valuation theory and methods of R＆D projects, to introduce real options method and its application in R＆D projects valuation, construct the valuation system of R＆D projects by real options method, and to confirm the optimal valuation model by analysis of the model.R＆D is the basis to gain core competition, economic profit and request survive and development for a company. How to evaluate R＆D projects has been a hotspot at present. The basic valuation method of R＆D projects - discount cash flow approach can’t adapt to the complexity and uncertainty of R＆D project management and adjust decisions according to market changes, so it has been doubted. However, the application of real option method in R＆D project investment not only consider the underlying project value based on cash flow values, but also consider time value and management flexibility for project investment and the value of decreasing uncertain information. This provides important foundation for completely evaluating R＆D projects.We will construct the real option valuation model for R＆D project under continuous time and discrete time. Under the continuous time, R＆D project investment has the characteristic of typically compound growth option. In terms of Geske(1979)’s compound option model and Bellalah(2001)’s compound option model with information cost, we construct the valuation model of R＆D project with no information cost and information cost. We educe the differential equation of investment option value and corresponding boundary condition by financial option pricing method, according to the stochastic changes of project value, and get the optimal investment principle. We explain the real option pricing method in discrete time and its application in R＆D project.This paper provides a new analysis frame for the investment decision of R＆D project and will have important theoretical and practical meaning for R＆D investment.更多还原