R&D现实期权标的资产价值的运动既不是纯粹的几何布朗运动,也不是纯粹的跳跃运动,而是二者的结合。本文以此假设出发建立起一个更适合于评价R&D项目现实期权价值的模型,并采用飞利浦的案例对其进行实证研究。

The movement for the value of the underlying asset of R&D real options is neither purely a geometric Brownian motion,nor simply a jump process,but a combination of the both.Based on this assumption,a model more suitable for assessing real options value of R&D projects is built,and Philips′ case is adopted to carry out empirical study.