实物期权在企业Ramp;D项目投资决策中的应用研究.pdf

On The Application of Real Option in Firm’s RD Investment Decision Making 实物期权在企业 RD 项目投资决策 中的应用研究* On The Application of Real Option in Firm’s RD Investment Decision Making Wei Linwei Yuan liangqing School of economics management tsinghua University Abstract: This study first reviews the literature of real options research in the past decades, and points out the problem of obscure concepts and misuse of real option frequently appeared in the application fields. By analyzing and discussing some cases, the author put forward doubt on some research results, and indicate that because of the discrepancy of modeling and parameter definition, some theorems which true for financial options, such as the value of options will increase when the volatility and risk-free rate increase or expiration date suspension, will not true for the real options. Using the application of real options in firm’s RD project as an example, the paper analyses and discusses the problem in detail how to applying real options from aspects of modeling, parameter estimation and sensitivity analysis correctly, etc. By extending the results of Penning and Lint (1997) as well as Agliardi Elettra (2003), a close-form solution for a generalized of the Geske formula is derived for four types compound real options: call on call, call on put, put on call, put on put in the case of time-dependent volatility and risk-free rate and option-holding cost. The author’s findings are proven by numerical results in the last. Key Words: Real Option; RD investment; Compound Option; Geske formula; Binomial formula 实物期权在 RD 项目投资决策中的应用研究 蔚林巍 袁良庆 清华大学经济管理学院 北京 100084 摘要：本文首先对过去几十年来实物期