不确定下的RD项目评价与决策：RD实物期权模型及其数值分析

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1、厦门大学博士学位论文不确定下的R&D项目评价与决策：R&D实物期权模型及其数值分析姓名：李志伟申请学位级别：博士专业：会计学指导教师：傅元略20070401盈利模式的重新设计，以反映项目的可扩展性。在多企业博弈模型中，本文引入了边际成本率，以反映参与博弈企业竞争实力的差异；引入了溢出效应，以反映模仿的难易程度：引入了磨合成本，以反映合作过程中发生的额外成本。在R&D实物期权模型的求解上，本文将LSM算法(最d'--乘蒙特卡罗法)与EAV算法(扩展的对偶变量法)相结合，对模型进行数值求解，解决了本文数学模型难以求出解析解的难题。这种方法相对简便，而且精确度较高，有利于模型在

2、实际应用中推广。关键词：研发；项目评价；实物期权；博弈论；模拟AbstractResearchanddevelopment(R&D)isvitaltothedevelopmentofenterprises，buthowtoevaluateR&Dprojectshasbeenadifficultproblem．Traditionaldiscountedcashflow(DCF)method，notconsideringthevalueofflexibilityindecision-making，isunfitforthevaluationofR&Dprojectswithg

3、reatuncertanty．Basedontherealoptiontheoryandgametheory,thisdissertationdevelopsaseriesofeffectivemodels0IthevaluationanddecisionofR&Dprojects．Subsequently,themodelsaresolvedandanalyzedbytheMonteCarlomethod．ThisdissertationstudiesthevaluationanddecisionofR&Dprojectsbytheviewofsingle-firman

4、dmulti-firm．ConsideringsomecharacteristicsofR&Dprojects(includinghigh—risk,multi—stage,expandablity,productlifecircle，etc．)andthedecisionofentry,exitandexpandment,thesingle-finnmodeldevelopedinthisdissertationismorerealitic．Accordingwiththeoptiontheory,theincreaseduncertaintywillincreaset

5、hevalueofR&Dprojectslnamulti-stagemodel，parametersatdifferentstagesimpactR&Dprojectsindifferentways，andareasonablearrangementofvariousstageswillenhancethevalueofprojects．TheexpandablityofR&Dprojectswillbringadditionalexpansionoptions，andgreatlyenhancethevalueofprojects．Ofcourse，projectssh

6、ouldnotbeexpandedwithoutlimit，andthereisanoptimalsizeoftheexpansion．W汕theproductlifecyclecharacteristics，thearrivaloftheturningpointswillhaveamajorimpactonthevalueofprojects．Basedonaboveresearchresults，themodelisextendedintothegamemodelofcompetition,imitationandcooperationamongfirms，which

7、canbeusedforchoosingtheoptimalstrategyforthegameindecisionmakingforR&D．Theresultofsimulationshowsthat：(1)withthecompetitiveconditions，thetotalvalueofbotllislessthanthemonopolyvalue，buttheprobabilityofsuccessfulcompletionofprojectsrises．Thechangeofparametershasanoppo