Monetary Policy, the Non-state Enterprise Investment and the Expected Value of Sharing-type Compound Real Options in R&D Projects

doi:10.12005/orms.2017.0290

Abstract

Abstract: How to reasonably evaluate the effect of monetary policy on the value of sharing-type compound real options in R&D projects has become the important problem of non-state enterprises. According to the cognitive biases of the non-state enterprise decision-makers and molecular dynamics theory, this research builds a value forecast model of sharing-type compound real options on the basis of analyzing real options characteristics and interaction value in the R&D projects. It shows that when the monetary expansion degree increases, project expected value will enlarge, and when the degree is less, the value will decrease. In addition, the different intensity of monetary policy has a nonlinear effect on the option value of upper and lower, and its changing range also makes the explanation for the expected value difference; monetary expansion coefficient is proportional to the upper or lower of the option value, but its proportion to the expected value of the option value is not complete. Finally, we examine the impact of changes in the mechanism and effect by simulation experiments, thereby providing an experience reference for the non-state enterprises decision makers.

Key words: R&D project, monetary policy, non-state enterprises, sharing-type compound real options

摘要： 如何合理评估货币政策对R&D项目中的共享型复合实物期权价值的影响已成为非国有企业决策者面临的重要问题。本研究根据非国有企业决策者的认知偏差和分子动力学理论,在分析R&D项目中的实物期权特征及价值相互作用的基础上,构建了共享型复合实物期权价值预期模型,研究表明:当货币扩张程度增强时,项目价值预期增大;当货币扩张程度减弱时,项目价值预期减小。另外,货币扩张强度对期权价值的上、下限和预期值具有非线性影响;货币政策的变化范围对期权价值预期的解释程度不同;货币扩张系数与期权价值的上下限成正比,但与期权价值的预期值不完全成正比。最后通过仿真实验检验了该影响的变化机理和效果,从而为非国有企业决策者提供经验参考。

关键词: R&D项目, 货币政策, 非国有企业, 共享型复合实物期权

CLC Number:

F830

WANG Chao-fa, SUN Jing-chun. Monetary Policy, the Non-state Enterprise Investment and the Expected Value of Sharing-type Compound Real Options in R&D Projects[J]. Operations Research and Management Science, 2017, 26(12): 83-91.

王超发, 孙静春. 货币政策、非国有企业投资与R&D项目中的共享型复合实物期权价值预期[J]. 运筹与管理, 2017, 26(12): 83-91.

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