【作者】 李夏玮；

【导师】 唐湘晋；

【作者基本信息】 武汉理工大学 ， 应用数学， 2009， 硕士

【摘要】 随着知识经济时代的到来,企业之间的竞争日趋激烈。在企业进行激烈竞争的过程中,研究与开发(R&D)活动成为企业与其主要竞争对手争夺地位的关键性因素。由于市场是千变万化,神奇莫测的,市场的灵敏反应造成企业时刻要进行技术创新,再加上经济全球化的趋势,使得更新、更适用的技术和工艺层出不穷,每一种新技术的出现都会给企业带来新的市场机会,技术的迅速变化迫使企业对R&D项目要有充足的投入。而由于R&D具有高不确定性,主要来自技术不确定性和经济不确定性,同时也由于R&D项目的阶段性和周期性使得R&D项目价值的评价变得困难起来,因此评价R&D项目的投资成为R&D项目管理中的一个很重要的议题,而传统的决策工具根本无法满足现代企业对R&D项目价值的评价,也无法很好地将R&D项目的不确定性考虑在内。本文的研究目的是引入实物期权法对连续时间下的R&D项目价值进行评价,充分考虑R&D项目中所蕴含的柔性管理策略,从而使现代企业建立一种新的R&D项目价值评价思想。全文主要从五大部分来研究R&D项目中所蕴含的期权价值。首先分析了R&D项目的特点和应用于R&D项目评价的传统决策法,从中知道传统决策法很大程度上没有考虑R&D项目所包含的不确定性和风险性,这种传统估值法经常使得企业放弃了本该抓住的有利机会。鉴于这种传统估值法的不足之处,本文建立实物期权评价模型,指出实物期权法更适合R&D项目投资决策的评价。同时以股票期权为基础,先阐述概念,再阐述金融期权的定价,从而引入实物期权,通过这样的过渡,可以很容易将实物期权与我们熟悉的金融期权进行对照,发现实物期权法的合理性。介绍实物期权法定价所要用到的数学工具后,我们先建立了两阶段(研发阶段和商业化阶段)动态规划模型,然后建立B-S期权定价模型,结合实证研究对B-S期权定价模型的可行性给出了量化分析。本文对R&D项目价值及项目中所蕴含的实物期权价值进行研究,所采用的研究方法是动态规划法和偏微分方程法,以伊藤引理为基础,引入价值评价所用的定价模型,从而给出模型的解析解和实证中的数值解。总之,本文的主要创新点包括如下三个方面:首先,给出连续时间状态下R&D项目价值与所蕴含的商业期权价值的动态规划模型,包含了R&D项目所具有的不确定性;其次,在R&D项目价值服从几何布朗运动的假设下,建立了布莱克——舒尔斯期权定价模型,使得实物期权定价的量化方法变得可行;最后,基于B-S期权定价模型的实证研究为企业提供了更有战略意义的R&D项目价值评估实践分析。更多还原

【Abstract】 Along with the coming of the era of knowledge-driven economy,the competition in the enterprises becomes more and more intense.In the progress,R&D activity becomes a crucial factor for enterprises and their competitors who want to get the status,too.Because of the market is changing all the time,the enterprises must carry on the technological innovation.In addition,the economic globalization’s tendency and new technology can bring the new marketing opportunity to the enterprises.The rapid change about the technology force enterprises must have the sufficient investment to the R&D project.But because of the high uncertainty ,mainly coming from the technical uncertainty and the marketing uncertainty,because of the periodicity and the stages of the R&D project, the appraisal about the R&D project becomes more and more difficult.Thus,the appraisal about the R&D project becomes an important subject in the project management.But the traditional decision-making tools are unable to satisfy the enterprises for the appraisal about the R&D project.This paper’s research goal is the introduction about the real option method,which can be used in the appraisal about the R&D project value.The method considers the flexibility in the R&D project.Thus, the modern enterprises can establish a new thought of the appraisal.The article mainly includes five parts,which introduce the real option method in the R&D project.Firstly,it includes the characteristics of the R&D project and the traditional decision-making methods.The traditional methods neglect the high uncertainty and risk in the R&D project.The traditional methods caused the enterprises to give up the powerful opportunity which originally should be held.Considering the deficiency of the traditional method ,the article established real option model,which points that real option method is more suitable.Meanwhile,on the foundation of the stock option,firstly , introducing the concept,then elaborating the financial option pricing,then introducing the real option ,we can compare the real option with the financial option easily,in order to find the rationality of the real option. After giving the mathematical instrument,we have established the two-stage dynamic programming model,which includes R&D stage and commercialization stage,then established the B-S option pricing model,practical study has given the quantification analysis to the B-S option pricing model.The article researches the project’s value and real option’s value in the R&D project.The research method is dynamic programming method and the partial differential equation method.On the foundation of Ito theory,introducing the appraisal model,then giving the analytic solution of the model and the numerical solution of the evidence research.In a word,the main innovation includes three points.Firstly,giving the R&D project and real option’s dynamic programming model which is under the sequential time,the model considers the uncertainty in the R&D project.Next,under the R&D project’s value following geometric Brownian motion’s assumption, having established B-Smodel,which makes the quantification method becomes feasible.Finally,practical study which is based on B-S model provides the strategic sense and practical analysis for the enterprises.更多还原