We develop a multivariate real call option model to the valuation ofthe multi-stage venture capital project. The main feature of our realoption model is that the underlying venture capital project is anon-traded asset. We derive a dividend-like yield, δ, in response tothe nature of the non-traded asset with Intertemporal Capital AssetPricing Model of Merton (1973). The computation of the critical firm'svalues and the multidimensional normal integrals is a big challenge,being done with the Brent algorithm and the improved Gauss Quadraturemethod of Drezner (1992), respectively. The calculated results showthat the net effect of the volatility and the interest rate on thereal call option is not necessarily positive.
2001年財務金融學術暨實務研討會論文集=Proceedings of the Annual Research Conference in Finance and Financial Market in the 21st Century，頁N.A.(CD)