基于复合实物期权的研发投资评价——以高科技公司跨国研发销售项目为例
5221 
2827
财经研究 2006 年 第 32 卷第 09 期, 页码：114 - 123
摘要
参考文献
摘要
研究表明,研发项目中实物期权在识别和计算上的复杂性影响了该方法的理论发展与应用前景。文章以不确定性作为实物期权的一个关键价值驱动,并以此为主线提出了一个更便捷、更有效的分析框架和方法。这不仅涉及实物期权的识别,而且也包括了实物期权的评估等方面。最后,文章以一个医药研发项目中本国与跨国间的销售实例为基础,对这一框架的应用作了讨论,并计算了复合研发实物期权的价值。
[1]Amram M,Kulatilaka N.Disciplined decisions-aligning strategy with the financial mar-kets[J].Harvare Business Review,1999,77(1):95~104.
[2]Dixit Aniash K,Pindyck Robert S.Investment under uncertainty[M].Princeton Uni-versity Press.Princeton,New Jersey,1994.
[3]王蔚松.竞争环境下公司投资战略的实物期权博弈思考[J].外国经济与管理,2003,(9):19~23.
[4]王蔚松.不完全信息的项目管理:一种实物期权方法[J].同济大学学报(社会科学版),2003,(5):82~90.
[5]谭跃,何佳.实物期权与高科技战略投资[J].经济研究,2001,(4):59~66.
[6]Roberts K,Weitzman M L.Funding criteria for research,development and explorationprojects[J].Econometrica,1981,49:1261~1288.
[7]Weitzman M L,Newey W,Rabin M.Sequential R&D strategy for synfuels[J].BellJournal of Economics,1981,12:574~590.
[8]Margrabe W.The value of an option to exchange one asset for another[J].Journal ofFinance,1978,33:177~186.
[9]Geske R.The valuation of compound options[J].Journal of Financial Economics,1979,7:63~81.
[10]Carr P.The valuation of sequential exchange opportunities[J].Journal of Finance,1988,43:1235~1256.
[11]Schwartz E S,Moon M.Evaluating research and development investments[A].M JBrennan,L Trigeorgis.Project flexibility,agency and competition[C].Oxford UniversityPress,2000:85~106.
[12]Lee J,Paxson D A.Analytic approximations for American exchange options[R].Working Paper,Manchester Business School,2000.
[13]Benaroch M.Option-based management of technology investment risk[R].Workingpapers,Syracuse University,Syracuse,NY,2001.
[14]Copeland Tom,Antikarov Vladimir.Real options:A practitioner’s guide[M].Texere,New York,2001.
[15]Lander D M,Pinches G E.Challenges to the practical implementation of modeling and valu-ing real options[J].The Quarterly Review of Economics and Finance,1998,38:537~567.
[2]Dixit Aniash K,Pindyck Robert S.Investment under uncertainty[M].Princeton Uni-versity Press.Princeton,New Jersey,1994.
[3]王蔚松.竞争环境下公司投资战略的实物期权博弈思考[J].外国经济与管理,2003,(9):19~23.
[4]王蔚松.不完全信息的项目管理:一种实物期权方法[J].同济大学学报(社会科学版),2003,(5):82~90.
[5]谭跃,何佳.实物期权与高科技战略投资[J].经济研究,2001,(4):59~66.
[6]Roberts K,Weitzman M L.Funding criteria for research,development and explorationprojects[J].Econometrica,1981,49:1261~1288.
[7]Weitzman M L,Newey W,Rabin M.Sequential R&D strategy for synfuels[J].BellJournal of Economics,1981,12:574~590.
[8]Margrabe W.The value of an option to exchange one asset for another[J].Journal ofFinance,1978,33:177~186.
[9]Geske R.The valuation of compound options[J].Journal of Financial Economics,1979,7:63~81.
[10]Carr P.The valuation of sequential exchange opportunities[J].Journal of Finance,1988,43:1235~1256.
[11]Schwartz E S,Moon M.Evaluating research and development investments[A].M JBrennan,L Trigeorgis.Project flexibility,agency and competition[C].Oxford UniversityPress,2000:85~106.
[12]Lee J,Paxson D A.Analytic approximations for American exchange options[R].Working Paper,Manchester Business School,2000.
[13]Benaroch M.Option-based management of technology investment risk[R].Workingpapers,Syracuse University,Syracuse,NY,2001.
[14]Copeland Tom,Antikarov Vladimir.Real options:A practitioner’s guide[M].Texere,New York,2001.
[15]Lander D M,Pinches G E.Challenges to the practical implementation of modeling and valu-ing real options[J].The Quarterly Review of Economics and Finance,1998,38:537~567.
引用本文
王蔚松. 基于复合实物期权的研发投资评价——以高科技公司跨国研发销售项目为例[J]. 财经研究, 2006, 32(9): 114–123.
导出参考文献，格式为：
