| HETEROGENEOUS INFORMATION ARRIVAL AND R＆D OPTION PRICING |
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| 引用本文： | 薛明皋,李楚霖.HETEROGENEOUS INFORMATION ARRIVAL AND R＆D OPTION PRICING[J].数学物理学报(B辑英文版),2003,23(1):124-132. |
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| 作者姓名： | 薛明皋 李楚霖 |
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| 作者单位： | Xue Minggao Li CulinDepartment of Mathematics，Huazhong University of Science and Technology，Wuhan 430074，China |
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| 基金项目： | The work is supported by National Foundation of China (70071012). |
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| 摘 要： | The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual option). Investment in R&D can be thought of as option on an option(a compound option). This paper derives an analytic approximation valuation formula for the R&D option, and demonstrates that the accounts 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.
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HETEROGENEOUS INFORMATION ARRIVAL AND R&D OPTION PRICING |
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| Xue Minggao Li Culin.HETEROGENEOUS INFORMATION ARRIVAL AND R&D OPTION PRICING[J].Acta Mathematica Scientia,2003,23(1):124-132. |
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| Authors: | Xue Minggao Li Culin |
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| Institution: | Xue Minggao Li CulinDepartment of Mathematics,Huazhong University of Science and Technology,Wuhan 430074,China |
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| Abstract: | The paper models the arrival of heterogeneous information during R&D stages as a doubly stochastic Poisson process(DSPP). The new product market introduction is considered as a timing option(an American perpetual option). Investment in R&D can be thought of as option on an option(a compound option). This paper derives an analytic approximation valuation formula for the R&D option, and demonstrates that the accounts 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. |
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| Keywords: | Real option managerial flexibility the doubly stochastic Poisson process |
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