基于实物期权方法的高技术企业投资决策研究
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摘要
本研究首先深入评价传统决策方法,包括NPV方法及其扩展,敏感性分析以及决策树分析等,这些传统分析方法忽略了高技术投资蕴含的期权价值,并采用经过调整的主观折现率,与高技术投资实际有很大的差别;在此基础上,针对高技术企业投资的不确定性、不可逆性、多阶段性及或有决策的重要特征,提出在高技术投资决策中应推广运用实物期权分析方法,系统分析了金融期权以及实物期权的理论基础,着重说明在高技术投资决策中如何运用实物期权方法来构造应用框架和解决过程,对已有的期权定价方法进行综合评价,分析各自的适用性,针对高技术企业的投资特点提出合适的期权定价模型并进行实证分析,以及为适应实物期权决策的企业管理变革思路。
在实物期权的处理中,模型固然很重要,但构建合适的应用框架以及解决过程将更有利于科学决策以及把握实物期权应用的主要因素,从而正确使用模型。本研究重点突出了基于实物期权决策的解决过程,这个过程包括构造高技术投资的实物期权应用框架,分析与之相适合的实物期权模型与计算方法,参数的获得性分析,并提出应用应注意的问题。
在模型的构建上,笔者在总结前人研究的基础上,从突出应用出发,主要采用数值方法分析了高技术投资决策中的实物期权定价,构建了高技术投资单一实物期权以及复合实物期权的二叉树模型,运用实物期权的二叉树模型对高技术企业的专利技术投资决策,面对未来增长机会投资决策,风险投资中放弃决策以及多阶段复合期权决策等进行实证分析;并对基于实物资产价值连续形式的期权模型进行了扩展,运用动态规划方法以及或有权益方法进行计算,对相应投资决策中的最优决策规划以及因素变动性分析进行了实证,为不确定条件下高技术企业投资决策的实物期权解决思路提供了可供选择的方法路径。
面对充满不确定性的未来,高技术投资期权决策能力的获得,要求高技术企业的决策模式以及执行过程与传统的企业管理模式不同,本研究在分析了传统管理理论的基础上,为适应实物期权的决策思想对公司的管理能力与组织设计进行再造,构建了基于动态变化的高技术企业管理模式,设计了柔性决策的高技术企业战略管理框架。
This research firstly evaluates traditional decision methods, including NPV method and its expansion,the sensitivity analysis,the decision-tree analysis etc.The traditional methods neglect the optional value within the high-tech investment, while adopt adjusted subjective discount rate,which physically differs from real high-tech investments’characteristics.Basically, this research,aiming at the significant characteristics of high-tech investment such as uncertainty ,non-reversibility,multi-stages and flexible decision,considers that the real option analysis is promoted dramatically in the high-tech investment decision and analyzes systematically the theoretical foundation of the financial option and real option.Then it emphasizes how to make use of the methods of the real option to construct an applicable framework and settlement procedures in the high-tech investment decision,and appraises the original option pricing methods, also compares with their respective applicability.Finally through the empirical analysis on the option pricing model according to the above features,it proposes the idea of enterprise management reform in the real option decision.
In options’settlement procedure,model is important, but it’s more beneficial for scientific decision-making by constructing a reasonable applicable framework,settlement procedure and holding on the main factor in practice.The paper’s outstanding point lies in the settlement procedure for decision-making according to the real option method, which includes the applicable framework of high-tech investment, analyze the model and method in the real option, searches on the acquisition of parameters, then it forms the adjustable idea on the formula for high-tech investment and application.
As to the model’s construction, the author set out from the previous studies,analyzes real option pricing in high-tech investment decision that mainly adopted binomial-tree model, then builds a single high-tech investment option and compound real option, also designs the option calculation model based on EXCEL program, all of these mainly adopting binomial-tree model, which is used by the high-tech enterprises to do the empirical analysis on the patented technology investment decisions,the decision-making of future increasing opportunities, abandonment decision and multi-stage compound option in venture investment,etc.Further,the writer expands the model on the real assets’value in their continuous forms,applies dynamic programming & contingent claims approach to calculate,accordingly makes the empirical analysis on the optimal decision and factor influences,which supports some alternative paths to deal with real options in high-tech investment decision.
Facing the uncertainty in the future , the acquisitions of the high-tech investment’s option decision requires the enterprises to have the unique management mode in decision-making and executive process.Making a lot of analyses for the suitable ideas to rebuild the management capacity and team design,the author constructs a high-tech enterprise management model and designs a strategic management framework using the flexible decision.
在实物期权的处理中,模型固然很重要,但构建合适的应用框架以及解决过程将更有利于科学决策以及把握实物期权应用的主要因素,从而正确使用模型。本研究重点突出了基于实物期权决策的解决过程,这个过程包括构造高技术投资的实物期权应用框架,分析与之相适合的实物期权模型与计算方法,参数的获得性分析,并提出应用应注意的问题。
在模型的构建上,笔者在总结前人研究的基础上,从突出应用出发,主要采用数值方法分析了高技术投资决策中的实物期权定价,构建了高技术投资单一实物期权以及复合实物期权的二叉树模型,运用实物期权的二叉树模型对高技术企业的专利技术投资决策,面对未来增长机会投资决策,风险投资中放弃决策以及多阶段复合期权决策等进行实证分析;并对基于实物资产价值连续形式的期权模型进行了扩展,运用动态规划方法以及或有权益方法进行计算,对相应投资决策中的最优决策规划以及因素变动性分析进行了实证,为不确定条件下高技术企业投资决策的实物期权解决思路提供了可供选择的方法路径。
面对充满不确定性的未来,高技术投资期权决策能力的获得,要求高技术企业的决策模式以及执行过程与传统的企业管理模式不同,本研究在分析了传统管理理论的基础上,为适应实物期权的决策思想对公司的管理能力与组织设计进行再造,构建了基于动态变化的高技术企业管理模式,设计了柔性决策的高技术企业战略管理框架。
This research firstly evaluates traditional decision methods, including NPV method and its expansion,the sensitivity analysis,the decision-tree analysis etc.The traditional methods neglect the optional value within the high-tech investment, while adopt adjusted subjective discount rate,which physically differs from real high-tech investments’characteristics.Basically, this research,aiming at the significant characteristics of high-tech investment such as uncertainty ,non-reversibility,multi-stages and flexible decision,considers that the real option analysis is promoted dramatically in the high-tech investment decision and analyzes systematically the theoretical foundation of the financial option and real option.Then it emphasizes how to make use of the methods of the real option to construct an applicable framework and settlement procedures in the high-tech investment decision,and appraises the original option pricing methods, also compares with their respective applicability.Finally through the empirical analysis on the option pricing model according to the above features,it proposes the idea of enterprise management reform in the real option decision.
In options’settlement procedure,model is important, but it’s more beneficial for scientific decision-making by constructing a reasonable applicable framework,settlement procedure and holding on the main factor in practice.The paper’s outstanding point lies in the settlement procedure for decision-making according to the real option method, which includes the applicable framework of high-tech investment, analyze the model and method in the real option, searches on the acquisition of parameters, then it forms the adjustable idea on the formula for high-tech investment and application.
As to the model’s construction, the author set out from the previous studies,analyzes real option pricing in high-tech investment decision that mainly adopted binomial-tree model, then builds a single high-tech investment option and compound real option, also designs the option calculation model based on EXCEL program, all of these mainly adopting binomial-tree model, which is used by the high-tech enterprises to do the empirical analysis on the patented technology investment decisions,the decision-making of future increasing opportunities, abandonment decision and multi-stage compound option in venture investment,etc.Further,the writer expands the model on the real assets’value in their continuous forms,applies dynamic programming & contingent claims approach to calculate,accordingly makes the empirical analysis on the optimal decision and factor influences,which supports some alternative paths to deal with real options in high-tech investment decision.
Facing the uncertainty in the future , the acquisitions of the high-tech investment’s option decision requires the enterprises to have the unique management mode in decision-making and executive process.Making a lot of analyses for the suitable ideas to rebuild the management capacity and team design,the author constructs a high-tech enterprise management model and designs a strategic management framework using the flexible decision.
引文
1请参见2006年1月26日发表的《中共中央国务院关于实施科技规划纲要增强自主创新能力的决定》,www.gov.cn。
2请参见仝泽红著《DCF法在资金投放战略中的运用》,江苏财经信息www.jscj.net.
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