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本文介绍了一种用蒙特卡洛评估R&D项目中复合转换期权价值的方法。R&D项目投资一般涉及重叠或非重叠的多个阶段,每一阶段的投资都为决策者创造下一阶段投资是否执行的权利,而且总成本和收益具有极大的不确定性,因此R&D项目具有复合转换期权的特征。本文运用复合转换期权价值评估模型,采用蒙特卡罗模拟方法评估R&D项目中复合转换期权价值,并结合具体案例验证模型。研究结果表明:蒙特卡洛模拟方法能准确评估R&D项目中复合转换期权价值。
This article presents a methodology for using Monte Carlo to evaluate the value of composite conversion options in R & D projects. R & D project investment generally involves overlapping or non-overlapping stages, each stage of the investment for the decision makers to create the next phase of the investment is the implementation of the right, and the total cost and benefits with great uncertainty, so R & D projects have Features of composite conversion options. In this paper, the composite conversion option value evaluation model is used to evaluate the value of the composite conversion option in R & D projects by using Monte Carlo simulation method, combined with the specific case validation model. The results show that the Monte Carlo simulation method can accurately evaluate the value of compound conversion options in R & D projects.