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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6115

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6115

Title:	Pricing real growth options when the underlying assets have jump diffusion processes: the case of R&D investments
Authors:	吳明政;顏錫銘 Wu, Ming-Cheng;Simon H. Yen
Date:	2006
Issue Date:	2008-11-05 17:00:13 (UTC+8)
Abstract:	Numerous previous studies have demonstrated that research and development (R&D) investments can be evaluated by a real growth options approach. However, few studies have constructed evaluating models which consider the important R&D characteristics, including uncertainty regarding the project value, investment cost, and jump diffusion processes. The contribution of this study is not only to derive a model for evaluating R&D investments to conform to these key characteristics of R&D activities but also to build a real option pricing method that is more general than comparative important models, such as the theoretical papers of Black and Scholes (1973), Merton (1976), and Fischer (1978), and the application paper of Brach and Paxson (2001). This study also presents sensitivity analyses which illustrate the dynamic relationship between the real growth option value and the project value, investment cost, and main jump parameters. Hopefully, the results of this study can provide a useful reference for managers, and help them make better evaluations of R&D investments.
Relation:	R&D Management, 37(3), 269-27
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/j.1467-9310.2007.00474.x
DOI:	10.1111/j.1467-9310.2007.00474.x
Appears in Collections:	[財務管理學系] 期刊論文

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