1A3 THE OPTION VALUATION FOR RDA PROJECT WITH PATENT DECISIONS

概要

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This paper proposes an application of an option valuation approach to evaluate a project investment in three stages: research (R), development (D) and acquisition (A) by incorporating the patent sale as alternative to the decision to invest in the follow-on stages. The model also takes the market uncertainty into the valuation of the first two technical stages (R&D) of the project. The decision tree model is solved to determine the option values and optimal decisions in each of the RDA stages subject to decision rules, critical values, and certain boundary conditions through the dynamic programming. We subsequently evaluate the model effectiveness by comparing its decisions with those of an existing valuation model and the net present value method (NPV). the Monte Carlo simulation results show that under the option valuation approach, a positive profit in a wide range can be obtained with more than 50% chance, in spite of the small average profit.
一般社団法人日本機械学会の論文
2009-07-04