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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/76533

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題名:	Venture capital evaluation model using real options
作者:	Lin, T.T.;Tu, Chia Jung
貢獻者:	財管系
關鍵詞:	Break even;Hitting time;Initial public offerings;Project values;Real Options;Venture Capital;Industry;Optimization;Investments
日期:	2007
上傳時間:	2015-07-13 16:54:30 (UTC+8)
摘要:	This study applies the real options approach to elucidate investment timing for venture capital companies. This analysis attempts to determine the optimal hitting time t* that makes the gross value of project at maturity time T of initial public offering. When this value discounted back to t* equals the expected variable cost invested at time t. The venture capital company will then make a break even. Through numerical analysis, under situations of actual and expected discount rates, the optimal hitting time t is shown as 1.58 years and 3.996 years, respectively. Project value is $0.51(million) and $2.02 (million), respectively. Furthermore, with an actual discount rate, determines that the function of optimal hitting time t* with speed of mean reversion a is monotonically decreasing. Conversely, with maturity time T, mean reversion level b and σ are monotonically increasing. By applying of expected discount rate, the function of optimal hitting time t* with σ, and speed of mean reversion a are both monotonically decreasing. Mean reversion level b is monotonically increasing with maturity time T. © Taru Publications.
關聯:	Journal of Interdisciplinary Mathematics, 10(4), 459-477
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1080/09720502.2007.10700507
DOI:	10.1080/09720502.2007.10700507
顯示於類別:	[財務管理學系] 期刊論文

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