文档介绍：南京航空航天大学
硕士学位论文
基于实物期权的高新技术项目投资决策研究
姓名:陶旻
申请学位级别:硕士
专业:技术经济及管理
指导教师:彭灿
20080101
南京航空航天大学硕士学位论文
摘要
随着我国高新技术产业的发展,以高度不确定性为显著特性的高新技术
项目的投资决策已成为项目投资决策研究领域的一个热点问题,这也是本文
研究的核心和重点内容。
本文围绕实物期权分析方法在高新技术项目投资决策中的应用这一主
线展开研究工作。首先回顾了以 DCF 法为代表的传统投资决策方法,指出其
在不确定性环境下的使用缺陷。然后引入了以金融期权理论和模型为基础的
实物期权分析方法,指出其能正确评价项目投资在不确定性环境下的管理柔
性价值,尤其适合于高新技术项目的投资决策。深入剖析了高新技术项目具
有不确定性和投资的分阶段性,论证了高新技术项目投资的实物期权特性。
在此基础上,本文构建了高新技术项目投资的实物期权决策分析框架,并尝
试扩展了二叉树期权定价模型的应用以解决高新技术项目投资中的具体问
题。最后用一个实例检验了模型扩展应用的合理性和有效性。
本文的研究成果对于完善高新技术项目投资的决策体系和方法具有一
定的理论意义和实践意义。

关键词:实物期权,高新技术,投资决策,管理柔性,二叉树模型

i
基于实物期权的高新技术项目投资决策研究
ABSTRACT
With the rapid development of high technology industry in our country, it is
a hot issue of the study on project investment decisions that how to evaluate the
investments of high technology characterized by high uncertainty. This issue is
also the main content of this paper.
The research work is carried out around the application of real options
approach to project investment decisions in high technology. Firstly, the paper
reviews the traditional investment decision methods represented by the DCF
method and points out their defects under uncertain environment. Secondly, real
options approach based on financial options theory and models is introduced and
it can correctly appraise the value of managerial flexibility in the project under
uncertain environment, which is crucial to the evaluation of high technology
project investment. Thirdly, the paper proves its real option characteristics by
analyzing uncertainty and staged investment of high technology project. Then,
decision analysis framework based on real options of high technology project
investment is set up and the application of the binomial options tree model is
tried to extend in order to solve the specific problems in investment. Finally, a
case is used to test the rationality and validity of the extended application.
The conclu