The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual ...The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual option). Investment in R&D can be thought of as option on an option(a compound option). This paper derives an analytic approximation valuation formula for the R&D option, and demonstrates that the accounts for heterogeneous information arrival may reduce the pricing biases. This way, the gap between real option theory and the practice of decision making with respect to investment in R&D is diminished.展开更多
The purpose of this paper is to discuss how the value of high-tech firm can be rationally valued by taking into account managerial flexibility when its future revenue is uncertain,thereby the firm's manager can ma...The purpose of this paper is to discuss how the value of high-tech firm can be rationally valued by taking into account managerial flexibility when its future revenue is uncertain,thereby the firm's manager can make rational investment decisions.Using stochastic control theory,the paper will present that the firm's value satisfies a partially differentiate equation,and analyze the managerial flexibility value within a framework of real-option analytic theorey.Finally,the comparative static analysis and the model's simple application are given.展开更多
基金The work is supported by National Foundation of China (70071012).
文摘The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual option). Investment in R&D can be thought of as option on an option(a compound option). This paper derives an analytic approximation valuation formula for the R&D option, and demonstrates that the accounts for heterogeneous information arrival may reduce the pricing biases. This way, the gap between real option theory and the practice of decision making with respect to investment in R&D is diminished.
基金Supported by the National Natural Science Foundation of China( 70 0 71 0 1 2 )
文摘The purpose of this paper is to discuss how the value of high-tech firm can be rationally valued by taking into account managerial flexibility when its future revenue is uncertain,thereby the firm's manager can make rational investment decisions.Using stochastic control theory,the paper will present that the firm's value satisfies a partially differentiate equation,and analyze the managerial flexibility value within a framework of real-option analytic theorey.Finally,the comparative static analysis and the model's simple application are given.
