On the Option Valuation of R&D Project under Heterogeneous Information Arrival

摘要：

In the real option framework, the arrival of heterogeneous information during R&D stages is modeled firstly as a doubly stochastic Poisson process (DSPP). The new product market introduction is considered as an American Perpetual option. Investment in R&D can be thought of as a compound option. This paper derive an analytic approximation valuation formula for the R&D option, and demonstrate that accounting 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.

关键词： R&D project real option heterogeneous information managerial flexibility doubly stochastic Poisson process

作者: Xue Minggao

作者单位: Department of Finance, School of Management Huazhong University of Science and Technology Wuhan, P.R. China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）