教師資料查詢 | 類別: 會議論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Sequential Venture Capital Investment as Real Options
學年89
學期2
發表日期2001/06/01
作品名稱Sequential Venture Capital Investment as Real Options
作品名稱(其他語言)
著者林蒼祥; 李正福
作品所屬單位淡江大學財務金融學系
出版者
會議名稱2001年財務金融學術暨實務研討會=Annual Research Conference in Finance and Financial Market in the 21st Century
會議地點臺北縣, 臺灣
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.
關鍵字實質選擇權;創業投資;利率;波動性;Real Option;Venture Capital;Interest Rate;Volatility
語言英文
收錄於
會議性質國內
校內研討會地點淡水校園
研討會時間20010601~20010602
通訊作者
國別中華民國
公開徵稿Y
出版型式電子
出處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)
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