文档介绍：华中科技大学
硕士学位论文
专利价值评估的实物期权方法
姓名:马忠明
申请学位级别:硕士
专业:数量经济学
指导教师:易江
20040508
摘要
企业持有专利进行生产决策时具有灵活性即可以根据市场行情来决定是否实
施该专利技术当市场行情好时专利成果能带来可观收益因此就进行投资实
施专利即生产产品并将产品投放市场否则就可以等待暂不实施这样就使得
决策更具灵活性能更好的避免损失由此看来专利类似于金融市场中的看涨期权
因而可以应用期权方法对其评估
鉴于目前专利缺乏系统完整的期权评价本文运用实物期权方法构造了两个评
估决策模型第一个模型中运用动态规划方法建立了求解专利价值和投资阈值的偏
微分方程并利用有限差分方法获得了数值解第二个模型中引入了技术生命周期
的概念标的资产不再按照单一几何布朗运动变化模型利用动态规划方法倒推计
算出任意时点的专利价值和投资阈值
运用模型进行计算的结果显示随着到期日临近专利价值减小实施专利投
资的阈值升高了敏感性分析说明利润流的漂移率越大专利的价值越大而投
资阈值越低利润流的不确定性越大专利的价值越大投资阈值也越高专利到
期后产品的市场竞争力越强专利的价值越大投资阈值越低在其他假定和参数
不变时运用第二个模型计算出的专利价值低于前一模型而投资阈值高于前一模
型
本文考虑到了标的资产在专利到期后运动形态的变化以及专利技术的生命周期
特征运用实物期权方法构建了完整的评估模型并给出了具体的计算方法和程序
应用本文的模型可以更科学方便的作出对专利价值以及投资决策的评价

关键词产品专利实物期权方法动态规划方法有限差分方法
技术生命周期 Monte Carlo 模拟

I
Abstract
Enterprise has flexibility in making production decision with holding patent,namely
it can decide to implement this patent technology whether or not according to market
conditions. When the market conditions is favorable and putting the patent in practice can
bring considerable e, enterprise will implement the patent, namely produce the
products and put the products on ,it will wait and not implement.
Consequently, with flexible decision making enterprise can avoid loss ,the
patent is similar to call option in the financial market and can be valued with option
method.
In the view of systemic appraisal lacking for patent assessment with option method
for the moment, the article constructs two assessment and decision-making models with
real option approach. In the first model utilizing dynamic programming approach the
partial differential equation to work out the value of patent and investment threshold
value is deduced and numerical result is obtained by using finite difference method. The
concept of technology life circle is introduced in the second model and the profit flow
will not diffuse according to single geometric brownian dynamic
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