Assessment for Different Venture Capital Tax Policies Based on Option Theory and Monte Carlo Simulation

摘要：

In this paper, we use the method of real options to evaluate five venture capital tax incentive policies from different countries and districts. We first translate these policies to option models, which are exotic and have no standard pricing formula. For pricing these options we apply Monte Carlo simulation, to generate some geometric Brownian motions with different drifts and volatilities, which are the models of the growth of venture capital; and then, by using the risk-neutral probability measure, to estimate the price of these options,which can be considered as an assessment criterion of these incentive tax policies. We get some interesting conclusions from the pricing results.

关键词： Monte Carlo Simulation Real Options Option Pricing Venture Capital.

作者: Kui K. Hu Shuzhong Shi

作者单位: Institute of Computer Science and Technology Peking University,Beijing, 100871, China Guanghua School of Management Peking University Beijing, 100871, China

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 717-724

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）