淡江大學機構典藏:Item 987654321/95231
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    题名: Sequential Venture Capital Investment as Real Options
    作者: 林蒼祥;李正福
    贡献者: 淡江大學財務金融學系
    关键词: 實質選擇權;創業投資;利率;波動性;Real Option;Venture Capital;Interest Rate;Volatility
    日期: 2001-06
    上传时间: 2014-02-11 23:56:11 (UTC+8)
    摘要: 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.
    關聯: 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)
    显示于类别:[財務金融學系暨研究所] 會議論文

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