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1、TheEvaluationofVentureCapitalAsanInstalmentOption:†ValuingRealOptionsUsingRealOptionsByMarkDavis,WalterSchachermayer#andRobertTompkinsThisVersion26July200211:30†ThispieceofresearchwaspartiallysupportedbytheAustrianScienceFoundation(FWF)undergrantSFB#10(AdaptiveInfo
2、rmationSystemsandModellinginEconomicsandManagementScience).#CorrespondingAuthor,DepartmentofFinance,UniversityofTechnology,Vienna,Doeltergasse33,A-1220,Vienna,Austria,Telephone:43-1-726-0919,Facsimile:43-1-729-6753,email:rtompkins@ins.at.TheEvaluationofVentureCapit
3、alAsanInstalmentOption:ValuingRealOptionsUsingRealOptionsABSTRACTManystart-upcompaniesrelyuponventurecapitaliststobeginoperations.Typically,aftertheinitialinjectionoffunds,additionalfundingisprovidedasthefirmreachescertainperformancetargets.Thepaymentofthefirstfund
4、ingroundiscomparabletoaninitialoptionpremium.Furtherpaymentsarecontingentclaims:therightbutnottheobligationtocontinuefinanciallysupportingtheproject.Ifatanypoint,theventurecapitalistceasestopay,theprojectisassumedtoend.Therefore,theventurecapitalistcanbethoughtofin
5、jectingfundsthatnotonlykeeptheprojectalivebutalsoretaintherighttopaytheremainingpaymentsinthefuture.Weinterpretthistypeofcorporatefinancetransactionasamultiplestagecompoundoption,whichisalsoknownasaninstalmentoption.InpreviousworkbyDavis,SchachermayerandTompkins(20
6、01,2002),instalmentoptionsontradedassetswereconsidered.Inthesepapers,itisshownthatstaticportfoliosofsimpleEuropeanoptionscanbeformedthatyieldnoarbitrageboundsonthevalueofinstalmentoptions.Inthisresearch,weextendtheanalysistoventurecapitalcontracts.Forimitator(clone
7、)projects,wederiveboundsonhowmuchaventurecapitalistshouldinitiallyinvestinsuchstart-upfirms.Undersuitableassumptions,suchboundsrelysolelyuponnoarbitragearguments.UpperandlowerboundscanbeenforcedbyconstructingportfoliosofEuropeanoptionsonfirmsinthesameindustry.Tothe
8、bestofourknowledge,therelationshipbetweenthefinancingofimitatorstart-upcompaniesandinstalmentoptionshasnotbeenidentifiedpreviously.JELclassificat
