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 en
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 TWN
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)
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95231 )

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