不同隨機影響規模下創投投資決策：實質選擇權法

Assessing Venture Capital Investment Decisions with Different Stochastic Impact Scales: A Real-Options Approach

邱清顯(Ching-Hsien Chiu)；劉維琪(Victor W. Liu)；林達榮(Tyrone T. Lin)

創業投資 ； 跳躍擴散過程 ； 隨機影響規模 ； 實質選擇權 ； venture capital ； jump-diffusion process ； stochastic impact scales ； real options

管理與系統

13卷4期（2006 / 10 / 01）

393 - 413

繁體中文

本文假設創投公司未來現金流量，依循算術布朗運動與布阿松（跳躍）過程，隨機影響規模分別為常態分佈、負指數分佈與Laplace分佈，利用實質選擇權法分析創投公司一次全部投入、分階段投資、清算或轉換決策。全文利用等價及平滑條件評估不同決策的門檻值與價值。最後，針對不同隨機影響規模對於一次全部投入、分階段投資、清算或轉換價值的影響進行比較。

This paper assumes the future cash flows of a venture capital company which follow an arithmetic Brownian motion and Poisson (jump) process, and utilizes the real options approach for analyzing the policy for lump-sum investment, staging investment, liquidation and convertibility. The stochastic impact scales are presented as normal, negative exponential, and Laplace distributions, respectively. This study is evaluated by value matching and smooth pasting conditions to assess the thresholds and value for different decisions. Finally, we compare the effect of different stochastic impact scales on the values for lump-sum investment, staging investment, liquidation and convertibility.

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