风险资本最优IPO时机选择模型研究

借助实物期权和最优停时的方法对风险资本的退出方式之一:IPO退出方式进行了退出时机的研究.通过假定项目的利润流服从几何布朗运动,并在有卖空限制以及假定乐观投资者的数量服从一个泊松跳过程的情况下,借用实物期权的方法和最优停时定理,建立了退出时机选择的模型,并推导出了最优停时的临界值阀值,最后得到结论:如果当乐观投资者和项目的利润流之比大于临界值阀值时,风险投资家是同意公司上市,因为此时为他们安全退出的最优时机.

Model on Optimum IPO Time Choice in Venture Capitals

By introducing theory of the real options and optimal stopping time,This paper analyzes Optimum Time Choice of IPO which is one of the way of exit of venture capitals.Assuming profits of the project followed the geometric Brownian motion and under the short-sale constraints and the number of optimistic investors followed a Poisson jumps process,and employing the way of the real options and optimal stopping time theory,we established mathematical model on the exiting time and derive the critical values of the optimal stopping time.Finally,we draw a conclude that the venture capitalist will agree to take the firm public if the ratio of the number of optimistic investors and the profits of the project is greater than the critical value because this time is the Optimum exiting time of venture capital.