R&D项目中的管理柔性价值——实物期权在R&D项目价值评估中的应用
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摘要
随着知识经济时代的到来,企业之间的竞争日趋激烈。在企业进行激烈竞争的过程中,研究与开发(R&D)活动成为企业与其主要竞争对手争夺地位的关键性因素。由于市场是千变万化,神奇莫测的,市场的灵敏反应造成企业时刻要进行技术创新,再加上经济全球化的趋势,使得更新、更适用的技术和工艺层出不穷,每一种新技术的出现都会给企业带来新的市场机会,技术的迅速变化迫使企业对R&D项目要有充足的投入。而由于R&D具有高不确定性,主要来自技术不确定性和经济不确定性,同时也由于R&D项目的阶段性和周期性使得R&D项目价值的评价变得困难起来,因此评价R&D项目的投资成为R&D项目管理中的一个很重要的议题,而传统的决策工具根本无法满足现代企业对R&D项目价值的评价,也无法很好地将R&D项目的不确定性考虑在内。本文的研究目的是引入实物期权法对连续时间下的R&D项目价值进行评价,充分考虑R&D项目中所蕴含的柔性管理策略,从而使现代企业建立一种新的R&D项目价值评价思想。
全文主要从五大部分来研究R&D项目中所蕴含的期权价值。首先分析了R&D项目的特点和应用于R&D项目评价的传统决策法,从中知道传统决策法很大程度上没有考虑R&D项目所包含的不确定性和风险性,这种传统估值法经常使得企业放弃了本该抓住的有利机会。鉴于这种传统估值法的不足之处,本文建立实物期权评价模型,指出实物期权法更适合R&D项目投资决策的评价。同时以股票期权为基础,先阐述概念,再阐述金融期权的定价,从而引入实物期权,通过这样的过渡,可以很容易将实物期权与我们熟悉的金融期权进行对照,发现实物期权法的合理性。介绍实物期权法定价所要用到的数学工具后,我们先建立了两阶段(研发阶段和商业化阶段)动态规划模型,然后建立B-S期权定价模型,结合实证研究对B-S期权定价模型的可行性给出了量化分析。
本文对R&D项目价值及项目中所蕴含的实物期权价值进行研究,所采用的研究方法是动态规划法和偏微分方程法,以伊藤引理为基础,引入价值评价所用的定价模型,从而给出模型的解析解和实证中的数值解。
总之,本文的主要创新点包括如下三个方面:首先,给出连续时间状态下R&D项目价值与所蕴含的商业期权价值的动态规划模型,包含了R&D项目所具有的不确定性;其次,在R&D项目价值服从几何布朗运动的假设下,建立了
布莱克——舒尔斯期权定价模型,使得实物期权定价的量化方法变得可行;最后,基于B-S期权定价模型的实证研究为企业提供了更有战略意义的R&D项目价值评估实践分析。
Along with the coming of the era of knowledge-driven economy,the competition in the enterprises becomes more and more intense.In the progress,R&D activity becomes a crucial factor for enterprises and their competitors who want to get the status,too.Because of the market is changing all the time,the enterprises must carry on the technological innovation.In addition,the economic globalization's tendency and new technology can bring the new marketing opportunity to the enterprises.The rapid change about the technology force enterprises must have the sufficient investment to the R&D project.But because of the high uncertainty ,mainly coming from the technical uncertainty and the marketing uncertainty,because of the periodicity and the stages of the R&D project, the appraisal about the R&D project becomes more and more difficult.Thus,the appraisal about the R&D project becomes an important subject in the project management.But the traditional decision-making tools are unable to satisfy the enterprises for the appraisal about the R&D project.This paper's research goal is the introduction about the real option method,which can be used in the appraisal about the R&D project value.The method considers the flexibility in the R&D project.Thus, the modern enterprises can establish a new thought of the appraisal.
The article mainly includes five parts,which introduce the real option method in the R&D project.Firstly,it includes the characteristics of the R&D project and the traditional decision-making methods.The traditional methods neglect the high uncertainty and risk in the R&D project.The traditional methods caused the enterprises to give up the powerful opportunity which originally should be held.Considering the deficiency of the traditional method ,the article established real option model,which points that real option method is more suitable.Meanwhile,on the foundation of the stock option,firstly , introducing the concept,then elaborating the financial option pricing,then introducing the real option ,we can compare the real option with the financial option easily,in order to find the rationality of the real option. After giving the mathematical instrument,we have established the two-stage dynamic programming model,which includes R&D stage and commercialization stage,then established the B-S option pricing model,practical study has given the quantification analysis to the B-S option pricing model.
The article researches the project's value and real option's value in the R&D project.The research method is dynamic programming method and the partial differential equation method.On the foundation of Ito theory,introducing the appraisal model,then giving the analytic solution of the model and the numerical solution of the evidence research.
In a word,the main innovation includes three points.Firstly,giving the R&D project and real option's dynamic programming model which is under the sequential time,the model considers the uncertainty in the R&D project.Next,under the R&D project's value following geometric Brownian motion's assumption, having established B-Smodel,which makes the quantification method becomes feasible.Finally,practical study which is based on B-S model provides the strategic sense and practical analysis for the enterprises.
全文主要从五大部分来研究R&D项目中所蕴含的期权价值。首先分析了R&D项目的特点和应用于R&D项目评价的传统决策法,从中知道传统决策法很大程度上没有考虑R&D项目所包含的不确定性和风险性,这种传统估值法经常使得企业放弃了本该抓住的有利机会。鉴于这种传统估值法的不足之处,本文建立实物期权评价模型,指出实物期权法更适合R&D项目投资决策的评价。同时以股票期权为基础,先阐述概念,再阐述金融期权的定价,从而引入实物期权,通过这样的过渡,可以很容易将实物期权与我们熟悉的金融期权进行对照,发现实物期权法的合理性。介绍实物期权法定价所要用到的数学工具后,我们先建立了两阶段(研发阶段和商业化阶段)动态规划模型,然后建立B-S期权定价模型,结合实证研究对B-S期权定价模型的可行性给出了量化分析。
本文对R&D项目价值及项目中所蕴含的实物期权价值进行研究,所采用的研究方法是动态规划法和偏微分方程法,以伊藤引理为基础,引入价值评价所用的定价模型,从而给出模型的解析解和实证中的数值解。
总之,本文的主要创新点包括如下三个方面:首先,给出连续时间状态下R&D项目价值与所蕴含的商业期权价值的动态规划模型,包含了R&D项目所具有的不确定性;其次,在R&D项目价值服从几何布朗运动的假设下,建立了
布莱克——舒尔斯期权定价模型,使得实物期权定价的量化方法变得可行;最后,基于B-S期权定价模型的实证研究为企业提供了更有战略意义的R&D项目价值评估实践分析。
Along with the coming of the era of knowledge-driven economy,the competition in the enterprises becomes more and more intense.In the progress,R&D activity becomes a crucial factor for enterprises and their competitors who want to get the status,too.Because of the market is changing all the time,the enterprises must carry on the technological innovation.In addition,the economic globalization's tendency and new technology can bring the new marketing opportunity to the enterprises.The rapid change about the technology force enterprises must have the sufficient investment to the R&D project.But because of the high uncertainty ,mainly coming from the technical uncertainty and the marketing uncertainty,because of the periodicity and the stages of the R&D project, the appraisal about the R&D project becomes more and more difficult.Thus,the appraisal about the R&D project becomes an important subject in the project management.But the traditional decision-making tools are unable to satisfy the enterprises for the appraisal about the R&D project.This paper's research goal is the introduction about the real option method,which can be used in the appraisal about the R&D project value.The method considers the flexibility in the R&D project.Thus, the modern enterprises can establish a new thought of the appraisal.
The article mainly includes five parts,which introduce the real option method in the R&D project.Firstly,it includes the characteristics of the R&D project and the traditional decision-making methods.The traditional methods neglect the high uncertainty and risk in the R&D project.The traditional methods caused the enterprises to give up the powerful opportunity which originally should be held.Considering the deficiency of the traditional method ,the article established real option model,which points that real option method is more suitable.Meanwhile,on the foundation of the stock option,firstly , introducing the concept,then elaborating the financial option pricing,then introducing the real option ,we can compare the real option with the financial option easily,in order to find the rationality of the real option. After giving the mathematical instrument,we have established the two-stage dynamic programming model,which includes R&D stage and commercialization stage,then established the B-S option pricing model,practical study has given the quantification analysis to the B-S option pricing model.
The article researches the project's value and real option's value in the R&D project.The research method is dynamic programming method and the partial differential equation method.On the foundation of Ito theory,introducing the appraisal model,then giving the analytic solution of the model and the numerical solution of the evidence research.
In a word,the main innovation includes three points.Firstly,giving the R&D project and real option's dynamic programming model which is under the sequential time,the model considers the uncertainty in the R&D project.Next,under the R&D project's value following geometric Brownian motion's assumption, having established B-Smodel,which makes the quantification method becomes feasible.Finally,practical study which is based on B-S model provides the strategic sense and practical analysis for the enterprises.
引文
[1] Ross,S.M. An Elementary Introduction to Mathematical Finance:Option and Other Topics[M].Beijing:China Machine Press,2004
[2] Lenos Trigeorgis.Real Option:Managerial Flexibility and Strategy in Resource Allocation[M].EngIand:The MIT Press, 1996
[3] Amram,M,Kulatilaka, N. Real Options:Managing Strategic Investment in an Uncertain World[M].Harvard Business School Press, 1999
[4] Kulatilaka,N.L,Trigeorgis.The General Flexibility to Switch:Real Options Revisited[J]. International Journal of Finance, 1994, 2 (6) :778-798
[5] Cox,Ross,Rubinstein.Option Pricing:A simplified Approach[J].Journal of Financial Economics, 1979,7(3):332-353
[6] Cox,Ross.The valuation of options for alternation stochastic process[J].Journal of Financial Economics, 1976,3(3): 145-166
[7] Mason S,Merton R.The role of contingent claims analysis in corporate finance [J].Recent advances in corporate finance, 1985, (1) :7-54
[8] Black F,Scholes M.The pricing of options and corporate liabilities[J].Jouranl of Political Economy, 1973,81 (3):637-654
[9] Merton R. Theory of rational option pricing [J].Bell Journal of Economics and Management Science, 1973,4(1): 141-183
[10] Kester W C. Today's options for tomorrow's growth[J].Harvard Business Review, 1984,62(2): 153-160
[11] Myers. Determinants of Corporate Borrowing[J].Journal of Financial Economics, 1977, 5(2):254-277
[12] Margarbe W.The value of an option to exchange one assert for another[J].Journal of Finance, 1978,33(1): 177-186
[13] Kasanen E,Trigeorgis L.A market utility Approach to Investment Valuation[J].European Journal of Operational Research, 1993,(special issue on Financial Modeling)
[14] Trigeorgis L.A conceptual options framework for capital budgeting[J].Advance inFutures and Option Research, 1988:145-167
[15] Carr P.The valuation of Sequential Exchange Opportunities[J].Journal of Finance, 1988, 1235-1256
[16]Geske,Robert.The Valuation of Compound Options[J].Journal ot Financial Economics,1979,7(1):63-81
[17]Aaker,Tyebjee.A model for the selection of interdependent R&D projects[J].IEEE Transactions on Engineering Management,1978,25(1):30-36
[18]Baker,Freeland.Recent advance in R&D benefit measurement and project selection methods[J].Management Science,1975,21:1164-1175
[19]Souder.A system for using R&D project evaluation methods[J].Research Management,1978,2(5):21-37
[20]Souder,Mandakovic.R&D project selection model[J].Research Management,198629(4):36-42
[21]Werner,Souder.Measuring R&D performance—U.S.and German practices[Z].Research Technology Management,1997,40:28-32
[22]Panayi and Tdgeorgis.Multi-stage Real Options:The Case of Information Technology Infrastructure and Internation Bank Expansion[J].The Quartly Review of Economics and Finance,1998,Special Issue(38):675-692
[23]Terrence and W.Fauikner.Applying Options Thinking to R&D Valuation[J].Research Technology Management,1996,(3):50-56
[24]Heantha S.B.Herath and Chen S.Park.Economic Analysis of R&D Project:An Option Approach[J].Tbe Engineering Economist,1999,44(1):1-35
[25]伍海华,杨德平.随机过程——金融资产定价之应用[M].北京:中国金融出版社,2002
[26]张波,张景肖.应用随机过程[M].北京:清华大学出版社,2004.159-175
[27]郑振龙.金融工程[M].北京:高等教育出版社,2003.81-133
[28]许庆瑞.研究、发展与技术创新管理[M].北京:高等教育出版社,2002.5-25
[29]杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003.85-89
[30]中国注册会计师协会.财务成本管理[M].北京:经济科学出版社,2008
[31]刘俊彦,王化成,荆新.财务管理学[M].北京:中国人民大学出版社,2006.30-81
[32]陈信元.财务会计[M].北京:高等教育出版社,2000.78-106
[33]龚光鲁.随机微分方程及其应用概要[M].北京:清华大学出版社,2008
[34]郭多祚.数理金融—资产定价的原理和模型[M].北京:清华大学山版社,2006
[35]阿维纳什·迪克西特,罗伯特·平迪克(朱勇等译).不确定条件下的投资[M].北京:中国人民大学出版社,2002.88-123
[36]周勇,周寄中.R&D 项目的期权性特征分析与期权性价值的估算[J].管理科学学报,2002,5,(1):19-23
[37]陈海生,张彦.R&D 项目实物期权评价法与传统净现值法的对比分析[J].会计之 友,2004,(10):30-31
[38]陈章明,曹景军.实物期权在R&D项目投资决策中的应用[J].会计之友,2008,(2):53-54
[39]安实,何琳,王健.基于实物期权的风险投资决策模型研究[J].哈尔滨工业大学学报,2002,34(3):389-391
[40]郑德渊,李湛.R&D项目评价的实物期权方法[J].技术经济与管理研究,2002,21(5):40-41
[41]刘德学,夏坚,樊治平.风险投资项目价值评估的一种实物期权方法[J].东北大学学报(自然科学版),2002,23(5):491-493
[42]郑德渊,伍青生,李湛.实物期权方法评价R&D项目应注意的几个问题[J].科学学与科学技术管理,2000,V01.21(10):38—40
[43]薛明皋,李楚霖.具有不确定性的R&D项目退出策略[J].华中科技大学学报(自然科学版),2002,30(9):54-56
[44]戴和忠.现实期权在R&D项目评价中的应用[J].管理科学研究,2000,18(3):61-63
[45]许民利,张子刚.应用实物期权理论评价R&D投资[J].系统工程,2001,19(1):10-14
[46]杨春鹏,伍海华.实物期权在专利价值评估中的应用[J].系统工程理论与实践,2002,(6):101-104
[47]周子康,杨春鹏.实物期权与金融期权[J].管理现代化,2001,(5):32-35
[48]胡飞.实物期权在R&D项目评价中的运用[D].武汉:华中科技大学,2003
[49]李启才.R&D项目的多阶段实物期权分析[D].武汉:华中科技大学,2004
[50]邓富民.项目前期管理[M].北京:机械工业出版社,2008.154-156
[51]李忠伟.不确定下的R&D项目评价与决策:R&D实物期权模型及其数值分析[D].福建:厦门大学,2007
[2] Lenos Trigeorgis.Real Option:Managerial Flexibility and Strategy in Resource Allocation[M].EngIand:The MIT Press, 1996
[3] Amram,M,Kulatilaka, N. Real Options:Managing Strategic Investment in an Uncertain World[M].Harvard Business School Press, 1999
[4] Kulatilaka,N.L,Trigeorgis.The General Flexibility to Switch:Real Options Revisited[J]. International Journal of Finance, 1994, 2 (6) :778-798
[5] Cox,Ross,Rubinstein.Option Pricing:A simplified Approach[J].Journal of Financial Economics, 1979,7(3):332-353
[6] Cox,Ross.The valuation of options for alternation stochastic process[J].Journal of Financial Economics, 1976,3(3): 145-166
[7] Mason S,Merton R.The role of contingent claims analysis in corporate finance [J].Recent advances in corporate finance, 1985, (1) :7-54
[8] Black F,Scholes M.The pricing of options and corporate liabilities[J].Jouranl of Political Economy, 1973,81 (3):637-654
[9] Merton R. Theory of rational option pricing [J].Bell Journal of Economics and Management Science, 1973,4(1): 141-183
[10] Kester W C. Today's options for tomorrow's growth[J].Harvard Business Review, 1984,62(2): 153-160
[11] Myers. Determinants of Corporate Borrowing[J].Journal of Financial Economics, 1977, 5(2):254-277
[12] Margarbe W.The value of an option to exchange one assert for another[J].Journal of Finance, 1978,33(1): 177-186
[13] Kasanen E,Trigeorgis L.A market utility Approach to Investment Valuation[J].European Journal of Operational Research, 1993,(special issue on Financial Modeling)
[14] Trigeorgis L.A conceptual options framework for capital budgeting[J].Advance inFutures and Option Research, 1988:145-167
[15] Carr P.The valuation of Sequential Exchange Opportunities[J].Journal of Finance, 1988, 1235-1256
[16]Geske,Robert.The Valuation of Compound Options[J].Journal ot Financial Economics,1979,7(1):63-81
[17]Aaker,Tyebjee.A model for the selection of interdependent R&D projects[J].IEEE Transactions on Engineering Management,1978,25(1):30-36
[18]Baker,Freeland.Recent advance in R&D benefit measurement and project selection methods[J].Management Science,1975,21:1164-1175
[19]Souder.A system for using R&D project evaluation methods[J].Research Management,1978,2(5):21-37
[20]Souder,Mandakovic.R&D project selection model[J].Research Management,198629(4):36-42
[21]Werner,Souder.Measuring R&D performance—U.S.and German practices[Z].Research Technology Management,1997,40:28-32
[22]Panayi and Tdgeorgis.Multi-stage Real Options:The Case of Information Technology Infrastructure and Internation Bank Expansion[J].The Quartly Review of Economics and Finance,1998,Special Issue(38):675-692
[23]Terrence and W.Fauikner.Applying Options Thinking to R&D Valuation[J].Research Technology Management,1996,(3):50-56
[24]Heantha S.B.Herath and Chen S.Park.Economic Analysis of R&D Project:An Option Approach[J].Tbe Engineering Economist,1999,44(1):1-35
[25]伍海华,杨德平.随机过程——金融资产定价之应用[M].北京:中国金融出版社,2002
[26]张波,张景肖.应用随机过程[M].北京:清华大学出版社,2004.159-175
[27]郑振龙.金融工程[M].北京:高等教育出版社,2003.81-133
[28]许庆瑞.研究、发展与技术创新管理[M].北京:高等教育出版社,2002.5-25
[29]杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003.85-89
[30]中国注册会计师协会.财务成本管理[M].北京:经济科学出版社,2008
[31]刘俊彦,王化成,荆新.财务管理学[M].北京:中国人民大学出版社,2006.30-81
[32]陈信元.财务会计[M].北京:高等教育出版社,2000.78-106
[33]龚光鲁.随机微分方程及其应用概要[M].北京:清华大学出版社,2008
[34]郭多祚.数理金融—资产定价的原理和模型[M].北京:清华大学山版社,2006
[35]阿维纳什·迪克西特,罗伯特·平迪克(朱勇等译).不确定条件下的投资[M].北京:中国人民大学出版社,2002.88-123
[36]周勇,周寄中.R&D 项目的期权性特征分析与期权性价值的估算[J].管理科学学报,2002,5,(1):19-23
[37]陈海生,张彦.R&D 项目实物期权评价法与传统净现值法的对比分析[J].会计之 友,2004,(10):30-31
[38]陈章明,曹景军.实物期权在R&D项目投资决策中的应用[J].会计之友,2008,(2):53-54
[39]安实,何琳,王健.基于实物期权的风险投资决策模型研究[J].哈尔滨工业大学学报,2002,34(3):389-391
[40]郑德渊,李湛.R&D项目评价的实物期权方法[J].技术经济与管理研究,2002,21(5):40-41
[41]刘德学,夏坚,樊治平.风险投资项目价值评估的一种实物期权方法[J].东北大学学报(自然科学版),2002,23(5):491-493
[42]郑德渊,伍青生,李湛.实物期权方法评价R&D项目应注意的几个问题[J].科学学与科学技术管理,2000,V01.21(10):38—40
[43]薛明皋,李楚霖.具有不确定性的R&D项目退出策略[J].华中科技大学学报(自然科学版),2002,30(9):54-56
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