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ID:36347026
大小:5.09 MB
页数:139页
时间:2019-05-09
《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》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
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
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