计算机工程与应用2012，Vol.48Issue(36)：245-248,4.DOI:10.3778/j.issn.1002-8331.1206-0267
考虑价值漏损的研发项目实物期权定价模型
Pricing method of real option for research and development project on considering value leakage
摘要
Abstract
A model for research and development project option pricing decision making on considering value leakage is presented. According to research and development project investment decision in the underlying expansion options, as well as the option to exist as cash flow or convenience returns of value leakage and on the basis of traditional binomial tree pricing model, the single period, two stage and three phase binomial tree pricing method including value leakage is given. The option pricing model of research and development on value leakage is established. The availability and accuracy of the option pricing method on value leakage are verified by analyzing the numerical example.关键词
研发项目/实物期权/二叉树模型/价值漏损Key words
research and development project/ real option/ binomial tree model/ value leakage分类
管理科学引用本文复制引用
郭子雪,李小彦..考虑价值漏损的研发项目实物期权定价模型[J].计算机工程与应用,2012,48(36):245-248,4.基金项目
国家社会科学基金项目(No.11BGL089) （No.11BGL089）
河北省软科学项目(No.11457250) （No.11457250）
河北大学人文社会科学引进人才科研启动基金(No.1009117). （No.1009117）
