摘要
文章基于实物期权方法建立了一套更为符合工业企业技术创新项目特点的投资决策模型。该模型既不同于传统的投资决策方法,也不同于一般的实物期权模型,而是运用NIG-Levy分布替代传统的正态分布来描述工业企业的收益分布,实现了对实物期权定价模型的改进。通过将改进后的实物期权理论应用于工业企业技术创新决策中,得到了企业执行技术创新期权的最优时间点以及工业技术创新项目实物期权的价值。最后得出结论:在工业技术创新投资过程中,技术创新期权的价值随着市场不确定性的增加而增大;投资过程中的不确定性对投资期权执行的时机选择以及期权价值的影响非常敏感。研究成果的意义在于运用实物期权方法能够根据市场的不确定性随时做出动态调整,使得技术创新的投资管理具有柔性。
Based on the real option theory,this papersets up a technical innovation project investment decision-making model,according to the characteristics of industrial enterprises.This model is different from the traditional investment decision method,and the general real option model.NIG-Levy process is used to describe industrial enterprise income distributioninstead of normal distribution,to develop the model.Then the improved real option theory was applied to industrial enterprises in technological innovation decision-making,and we can obtain the enterprises implement technology innovation option,the optimal time point the value of real options and technological innovation projects.Finally,we draw two conclusions:The value of the option of technology innovation increases with the increasing uncertainty;The uncertainty of the investment process is very sensitive to the carry out time of the investment option.The significance of the research results is that the real option theory can make a dynamic adjustment according to the uncertainty of the market at any time,which makes the investment management of technological innovation more flexible.
作者
郝军章
吴优
张印鹏
HAO Jun-zhang;WU You;ZHANG Yin-peng(Post-Doctoral Working Station,China Central Depository&Clearing Co.,Ltd.,Beijing 100033,China;Fudan University Applied Economics Postdoctoral Research Center,Shanghai 200433,China;School of Economics,Beijing Technology and Business University,Beijing 100048,China;College of Economics,Shenzhen University,Shenzhen Guangdong 518060,China)
出处
《技术经济与管理研究》
北大核心
2020年第7期27-32,共6页
Journal of Technical Economics & Management
基金
国家自然科学基金面上项目(71571007)
北京工商大学青年教师科研启动基金项目(QNJJ2020-36)
关键词
工业企业
技术创新
投资决策
实物期权
NIG-Levy分布
Industrial enterprise
Technological innovation
Investment decision
Real option theory
NIG-Levy process
