【作者】 马原；

【导师】 叶蜀君；

【作者基本信息】 北京交通大学 ， 技术经济及管理， 2007， 硕士

【摘要】 风险投资作为一种高风险、高收益的投资方式，因其良好的经济效益和社会效益得到了广泛关注。风险投资虽有高风险，但其多轮投资的特点使得投资者可以在必要的时候退出投资，或是避免更大的损失或将项目出售以获得比持有项目更多收益。所以如何及时、准确的判断项目是否应该退出，成为了风险投资研究领域的一个重要研究点。本文在对风险投资领域具有代表性的两种理论——综合评价法和实物期权理论进行了系统的回顾与综述的基础上，肯定了实物期权方法在风险投资评估中的优点，指出以往的实物期权方法，不论是公式法还是二项树法都是对所有变量赋以一个定值进行计算，其缺点就是无法体现出风险投资项目的波动性、高风险性，所得定值解也与实际差距较大。针对这些问题，本文创造性的提出了将蒙特卡洛法应用到实物期权的评价中来。蒙特卡洛法具有收敛速度与问题维数无关，不受待考察问题维数的限制的特点；它可以对大量不确定性问题进行有效分析，解决常用决策方法所无法解决的难题，并可反映多个因变量随机变化后，迭加起来的综合水平，从而有利于不确定环境下的决策。将蒙特卡洛法与实物期权理论结合，使得分析过程集合了两个理论的优势，决策结果也更为准确。更多还原

【Abstract】 As a kind of high risk but high benefit investment, venture capital has been focused since born because of both the good economical and social benefit. Thought there are huge risks in any venture capital item, but the feature that multi-turns investment makes the investor could terminate the item when necessary to avoid more loss, or sell the item to get more benefit than holding it. So the method of deciding if and when an item needs terminate has become a highlight point in the venture capital field.This paper first introduces two typical methods for evaluating venture capital item: synthetic method and real option theory. On the basis of reading a lot of papers, the writer assures the advantage of real option theory in the evaluation of venture capital, and point out the short comings of the traditional calculations of whatever B-S model or Geske model. Because of endowed with some fixed value, the result of models could not reflect the fluctuation of venture capital and the multi factor sensitivity analysis is far from practical use because of high dimensionTo solve those problems, creatively, this paper brings up the idea that applicants Monte Carlo method in the evaluation based on real option theory. Monte Carlo method has a lot of advantages such as get rid of the curse of dimensions, effective in the uncertain problems. It could easily reflect the combined change of several factor. That combines the Monte Carlo method and real option theory makes the advantages of them together, and the evaluation could also become more accurate更多还原