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随着市场竞争和全球化的日益增强,创新成为许多高新技术公司的重要战略之一,R&D项目的成功与否直接关系了这些公司的生存和发展。根据实物期权的相关理论,从期权角度出发,同时考虑实际问题的复杂性,在模型中引入模糊数,建立R&D项目的跳扩散条件下的模糊期权定价模型。选取一个R&D项目的实际案例,利用不同的期权定价模型对该项目的期权价值采用最小二乘蒙特卡洛模拟的方法进行数值模拟。结果显示,R&D项目中的柔性管理价值较大,若考虑模糊环境,则柔性管理的价值会更大。
As market competition and globalization become more and more important, innovation has become one of the most important strategies for many high-tech companies. The success of R & D projects has a direct bearing on the survival and development of these companies. According to the theory of real option, from the perspective of option, taking into account the complexity of the practical problems, fuzzy number is introduced into the model to establish the pricing model of fuzzy option under the condition of jump diffusion. The actual case of an R & D project is selected, and the option value of the project is simulated by using the least squares Monte Carlo simulation method with different option pricing models. The results show that the flexible management in R & D projects is of great value. If the fuzzy environment is considered, the value of flexible management will be greater.