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主办:中国优选法统筹法与经济数学研究会
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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (1): 15-19.

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Compound Option Model Based on Jump Process

ZHENG De-yuan   

  1. R&D Department, Shanghai National Accounting Institute, Shanghai 201702, China
  • Received:2003-03-22 Revised:2003-11-17 Online:2004-02-28 Published:2012-03-07

Abstract: Penning-Lint Jump process induced by outside information is used to describe the underlying asset and R&D spillover is considered when applying compound option model to R&D valuation,which makes the model more realistic.When using the model to value a typical R&D project, sensitivity results are obtained.

Key words: R&D project, compound option, jump process, spillover

CLC Number: