【作者】 孙志华；

【导师】 李萍；

【作者基本信息】 华中科技大学 ， 概率论与数理统计， 2004， 硕士

【摘要】 实物期权是关于价值评估和战略性决策的重要思想. 是战略决策和金融分析.相结合的框架模型. 它是现代金融领域中的金融期权定价理论应用于实物投资决策的方法和技术. 自产生以来. 实物期权理论已广泛地应用于自然资源投资. 企业高新技术项目投资 R&D 投资决策等涉及资本预算的研究领域.实物期权有许多种类型. 对于 Internet 生物科技. 计算机以及生物制药等行业的公司. 管理者持有的投资机会大多是平价和实值增长期权. 本文运用标准的实物期权模型. 研究了这类期权对于市场波动性的反应. 发现当期权是虚值的增长期权时. 其价值随波动的增大而增大. 当它是实值或接近实值时. 随波动的增大而降低.研究与开发(R&D)是企业经营与管理的一个重要内容 R&D 从最初的研究到.最终产品市场化要经过较长的阶段. 并且有许多不确定性因素. 它的阶段性特点.使管理阶层在每一个阶段可以根据当时获得的信息对以后的阶段进行选择. 如继续 R&D的工作. 扩大或缩小规模. 甚至终止下一步工作. 实物期权应用到 R&D项目评估的思想考虑了. R&D项目与期权市场交易的相似性. 通过适当的修改后.可以将期权交易的理论与方法及资产定价理论应用于评估中. 从而有可能为评价.提供更为科学合理的理论与方法. 对这一方面的前沿理论进行研究不仅能使我们能紧跟和参与管理科学的前沿研究. 而且在实践中有利于提高我国企业的管理水平. 增强我国各产业. 特别是高新技术产业的国际竞争力.公司投资于研发不同于一般的资本投资. 面临技术不确定和项目的经济价值.不确定性. 论文研究了公司面临技术及经济不确定性时的最优投资决策. 在 Dixit的产品市场模型中. 把沉淀成本与市场价值的不确定性结合. 根据 Marshallian均衡. 结果是使得投资点变大. 退出点变小. 当把技术不确定性也考虑进去时. 由 I<WP=5>于取得研发成功本身的不确定性. 使两个点都增大. 这样. 在投资进入点综合的结果是投资进入点增大. 在退出点. 考虑技术不确定性的作用与只考虑沉淀成本的作用相反. 使得公司更容易放弃研发. 当沉淀成本足够小. 研发成功的期望速度很高时. 第二个期权的作用是主要的. 使得公司可能在期望利润为正时放弃投资.更多还原

【Abstract】 The real option is a very important means of the evaluation and the strategicdecision. It is a method and technique which put the financial option estimate to thereal investment and it be widely applied to the investment of the natural resources,high-new technology, R&D and so on. R&D is very important to the operation and the management of a company. It is along period from starting the research to the market products. And it has so manyuncertain factors. So the managers can choose the stage according to the actualinformation. For example, continue the R&D, expand or contract the scale, shut downthe following stage works. Because of the similar of the R&D and the option market,the option methods can be used to evaluate the R&D. It is more scientific. Theadvanced research of the real option methods can keep us following the internationalresearch of the management science. We can improve the management level and theinternational competition of our companies. There are many kinds of real options. Growth option is one kind of it. This paperuses a canonical growth option model to analysis the rejection of the option to thevolatility. It determines that the growth option value increase in σ if it is wellout-of-money, but decreases in σ if it is near- or in-the-money. Managers of firmsholding a substantial number of at- or in-the-money growth options, such as those inthe Internet, biotechnology, computer, and pharmaceutical industries, are thereforejustified in continuing to shun increased market volatility, as are market analysis inthese sectors. The investment of R&D is different from the general. It is facing bothtechnological and economic uncertainty. This paper researches the optimal investmentstrategy under this condition. As in the Dixit product market model, sunk investment III<WP=7>costs combined with uncertainty over market values cause the trigger point forinvestment to rise and that for abandonment to fall relative to their Marshallianequivalents. When considered the technological uncertainty, both trigger points areraise due to the irreversibility of the discovery itself. At the investment trigger the twoeffects reinforce one another and research activity is further delayer compared with theMarshallian benchmark. At the abandonment trigger, however, the ‘discovery effect’counteracts the sunk cost effect and the project is abandoned more rapidly than wouldotherwise be the case. When sunk costs are sufficiently small and the expected speedof discovery is high, the second effect dominates and abandonment the takes placewhile expected profits are still positive.更多还原