不确定条件下不连续创新项目期权价值优化模型

为探讨不确定性对不连续创新项目期权价值及投资策略的影响,通过引入泊松跳跃过程模拟项目价值的不连续变化建立了不连续创新项目的期权价值优化模型,将技术、市场、组织与资源不确定性分别表示为项目产业化成功率、项目价值和投资成本的不确定性,然后具体解析了不连续变化的跳跃强度、跳跃幅度、跳跃幅度波动率等不确定性对不连续创新项目最优投资策略的影响以及不确定性与期权价值的关系,最后通过蒙特卡罗模拟检验了模型的有效性.模型将现有研究扩展到投资成本亦为不确定的情形,可为不连续创新项目投资和项目价值与风险评估提供决策参考.

Optimization model for option value of discontinuous innovation project under uncertainty

To investigate the effects of uncertainties on the option value and investment strategy of discontinuous innovation(DI) project,an optimization model for option value of DI project is proposed with Possion jump processes to simulate discontinuous change of the project value.In this model,the technology,market,organization and resources uncertainties are respectively identified as uncertain industrialization success,uncertain project value and uncertain fixed investment cost.The impacts of the jump-rate,jump-range and its instantaneous expected return of discontinuous change etc.on DI investment strategies are analyzed and the dynamic relations between uncertainties and option value are exhibited,and the validation of the model is examined by Monte Carlo simulation.Through extending its application to investment cost uncertainty which is seldom considered in prior studies,the model provides a practical method to estimate the value and risk of DI project for investment decision-makers.