| 基于投资跳扩散的研发项目投资决策研究 |
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| 引用本文： | 田季员,安实,张少军,于木林.基于投资跳扩散的研发项目投资决策研究[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 田季员 安实 张少军 于木林 |
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| 作者单位： | 哈尔滨工业大学管理学院; |
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| 摘 要： | 为解决由于技术创新使得研发项目的投资发生泊松跳跃时的投资决策问题,本文针对研发项目的投资不确定性,建立了基于跳扩散过程的研发项目投资决策模型,并在传统跳扩散模型中引入了新的变量-经营成本,侧重分析了技术溢出和吸收能力对项目投资临界值的影响。最后,通过算例对各个参数进行了灵敏度分析。
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| 关 键 词： | 投资决策 实物期权 经营成本 |
The Study of R&D Investment Decision Based on Jump-Diffusion Process |
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| TIAN Ji-yuan,AN Shi,ZHANG Shao-jun,YU Mu-lin.The Study of R&D Investment Decision Based on Jump-Diffusion Process[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | TIAN Ji-yuan AN Shi ZHANG Shao-jun YU Mu-lin |
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| Institution: | TIAN Ji-yuan,AN Shi,ZHANG Shao-jun,YU Mu-lin (School of Management,Harbin Institute of Technology,Harbin 150001,China) |
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| Abstract: | In order to solve the investment decision problem during Poisson jump for the investment on R&D project caused by technological innovation,taking this uncertainty into account,this article sets up a R&D project investment and decision model based on jump-diffusion process,introduces new variable(operating cost)in traditional model,and emphasizes on analyzing the influence of technology spillover and absorptive capacity on project investment critical value.At last,a sensitivity analysis on each parameter in ... |
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| Keywords: | investment decision real option operating cost |
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