基于二叉树期权定价模型的企业R&D项目价值评估研究

中国管理科学 ›› 2004, Vol. ›› Issue (3): 22-27.

基于二叉树期权定价模型的企业R&D项目价值评估研究

马蒙蒙^1,2, 蔡晨¹, 王兆祥¹

1. 中国科学院科技政策与管理科学研究所, 北京, 100080;
2. 中国科学技术大学商学院, 安徽, 合肥, 230026

收稿日期:2003-12-20 修回日期:2004-04-15 出版日期:2004-06-28 发布日期:2012-03-07

Study on the Evaluation of R&D Projects Based on the Binomial Option Tree Model

MA Meng-meng^1,2, CAI Chen¹, WANG Zhao-xiang¹

1. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China;
2. College of Commerce, University of Science and Technology of China, Hefei 230026, China

Received:2003-12-20 Revised:2004-04-15 Online:2004-06-28 Published:2012-03-07

摘要/Abstract

摘要： 本文将实物期权理论引入R&D项目管理领域,以阶段门NPD模型为基础,探讨了应用二叉树期权定价模型评估研发项目价值的具体思路和步骤,并通过比较,证明了由于评估时采用不符合研发项目风险特点的高折现率,NPV法倾向于低估项目价值,这将影响企业做出合理的投资决策。

关键词: R&D项目, 实物期权理论, NPV法, 二叉树期权定价模型

Abstract: This article introduces the Real Options Theory into the field of R&D project management.On the basis of Stagegate NPD Model,the application of binomial option tree model to evaluating the R&D is discussed.After comparison,it is concluded that the value of the R&D project will be underestimated because the NPV mistreated the risk in R&D,which would undermine the corporate investment decision.

Key words: R&D project, real options theory, NPV rule, binomial options tree model

中图分类号:

C931

马蒙蒙, 蔡晨, 王兆祥. 基于二叉树期权定价模型的企业R&D项目价值评估研究[J]. 中国管理科学, 2004, (3): 22-27.

MA Meng-meng, CAI Chen, WANG Zhao-xiang. Study on the Evaluation of R&D Projects Based on the Binomial Option Tree Model[J]. Chinese Journal of Management Science, 2004, (3): 22-27.

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