Assessment for Different Venture Capital Tax Policies Based on Option Theory and Monte Carlo Simulation

摘要

In this paper, we use the method of real options to evaluate five venture capital tax incentive policies from different countries and districts. We first translate these policies to option models, which are "exotic" and have no standard pricing formula. For pricing these options we apply Monte Carlo simulation, to generate some geometric Brownian motions with different drifts and volatilities, which are the models of the growth of venture capital; and then, by using the risk-neutral probability measure, to estimate the price of these options,which can be considered as an assessment criterion of these incentive tax policies. We get some interesting conclusions from the pricing results.