不确定条件下对称企业RD项目的期权博弈分析

摘要

为了对市场不确定性条件下的企业项目价值进行评价,文章通过构建期权博弈模型对对称企业的研究与开发(R&D)项目投资行为进行了研究,并采用了最小二乘法的蒙特卡罗模拟(LSM)方法对模型进行了仿真求解,得到了两企业R&D项目的价值.研究结果显示,LSM方法与期权博弈相结合做法具有可行性,对企业进行项目价值的评估具有参考价值和指导意义.%To value enterprises under uncertain market conditions, the paper researches on symmetric enterprises Research & Development (R&D) project investment and research behavior through establishing an option game model. Through Least-square Monte Carlo simulation (LSM) method on model, the paper works out two enterprises R&D project value which is a little smaller and more accurate than the result getting from Binary Tree Method. The study result shows the possibility of combining LSM method and Option Game. And the combination is important guidance and reference to enterprise value evaluation.