科技项目双期研发复合期权定价模型.pdf

《科技项目双期研发复合期权定价模型.pdf》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、©aÒ:—?:UDC:?Ò:ÆØ©‰E‘8VÏïuEÜϽd.4••“6¶:4I!£Ǥàó’ŒÆžÆ?O:a¬Æ‰!;’¶¡:A^êÆØ©Jžm:2011c11Ø©‰Fžm:2011c12Æǃü:àó’ŒÆ‰F”¬ÌR:µ<:2011c12DissertationSubmittedtoHebeiUniversityofTechnologyforTheMasterDegreeofScienceinAppliedMathematicsCOMPOUNDOPTIONPRICINGMODELONTWO-STAGER&DOFHIGH-TECHPROJECTS

2、byLiuFangchangSupervisor:Prof.LiuGuoxinDec2011àó’ŒÆa¬ÆØ©‰E‘8VÏïuEÜϽd.Á‡‰E‘8ïuÝ]´˜‡õãS0Ý]L§§äkEÜÏ5Ÿ§=˜‡ãïuÝ]¬‘5e˜‡ãïuÝ]¿šÂÖ"ïuÏÜn½déuÝ]ûüäk•‡•¿Â"©ï¡²LÚEâØ(½e‰E‘8VÏïuÝ]EÜϽd."Pennings,E.ÚSereno,L.£2011¤EÜÏ.¥k˜(5†Ø§©©OlÑ.ÚaÑ.ÝéÙ?1U"dDÚ²LÚEâØ(½5eEÜÏ.¥bÅÄÇÚÑt

3、¯‡ˆÇ3‘8ïu‡)·ÏSÑ´~ꧩòÙí2#NÅÄÇÚÑt¯‡ˆÇ••6užmš‘ż꧿íEÜÏdŠ4ª)"Ï•y¢¥‰E‘8ïužmªÝ•§‘Xžmí£§&Eìì²K§‘8dŠÅÄǬk¤~§üžmSEâد‡u)VÇ•¬eü§¿šÑ˜¤ØC§¤±ù«í2qäk•Ðy¢•¿Â"'…i:‰E‘8§ïu§EÜϧÑL§§aÑL§i‰E‘8VÏïuEÜϽd.COMPOUNDOPTIONPRICINGMODELONTWO-STAGER&DOFHIGH-TECHPROJECTSABSTRACTHigh-techprojectR&Dis

4、amulti-stagesequentialprocesswhichisfea-turedbycompoundoptionthattheinvestmentoftheonestagewillbringrightstothenextstageofR&Dbutwithnoobligations.Reasonablepric-ingofR&Doptionisofgreatpracticalsignicanceforinvestmentdecision.Thecurrentthesisbuildstwo-stagecompoundoptionpricingmodelofhigh-tec

5、hprojectsinfaceofeconomicandtechnologicaluncertainties.Thepaperaimstocorrectsomedecienciesinherentfromtwoaspects(diusionmod-elandjumpdiusionmodel)respectivelyinthecompoundoptionmodeldevelopedbyPennings,E.andSereno,L.(2011).Besides,Intraditionalcom-poundoptionmodel,volatilityandPoissonfailure

6、possibilityareassumedasconstantsduringtheentireR&Dlifetimeoftheproject.Dierentfromthetraditionalmodel,inthispaperthevolatilityandPoissonfailurepos-sibilityareexpandedtonon-stochastictime-dependentfunctionsandthevalueofcompoundoptionsareprovidedincloseformsolution.Usual-ly,real-lifehigh-techp

7、rojectscoveralongperiod,whichmeansthatwithmoreandclearerinformationavailableastimepassesby,bothvolatilityandrisksoftechnologyfailureperunitoftimewilldecreaseinsteadofremain-ingunchangedduringthewholeprocess.Therefore,thepopularizationofthismodelwil