Research On Real Option Evaluation Method Of Enterprise R&D Project Based On The Stochastic Volatility Hypothesis

R&D project is the key factor to realize long-term development of enterprises.Therefore,it is very important to make correct investment evaluation for such projects when managers make investment decisions.At present,the real option pricing method is applied to the R&D project evaluation because of the advantages in quantifying decision flexibility compared with the traditional NPV.However,scholars in real option pricing model mostly reflect the impact of market risk on the underlying asset value by the volatility of single value or the stage value,this simple setting is difficult to quantify the real volatility trend of the market accurately.In addition,in the calculation of real option pricing,European option and American option are mostly used,but the market is changeable,the application of other options based on R&D project characteristics should be considered.Based on stochastic volatility model with jump diffusion,this paper evaluate enterprise R&D project by Monte Carlo simulation method from the perspective of compound real option.The content of this paper includes the following parts:In part one,the background of the research problem,the overall research framework and the innovation of the article are described.Then,the relevant literatures at home and abroad are sorted out,thus,leading to the compound real option pricing of the R&D project under the stochastic volatility model with jump diffusion which will be studied in this paper.The barrier option characteristics of compound real options are studied in part two.We firstly analyze the concept and characteristics of compound real options,and then study the characteristics and classification of barrier options.Next,the compound real option characteristics of the project are obtained through the simulation analysis of the complete project process.Finally,the potential barrier option characteristics in the real option are analyzed.We study the random distribution characteristics of asset prices and the model selection in part three.Firstly,we analyze the random fluctuation characteristics of asset prices and introduce three kinds of common stochastic volatility model which leading to the benchmark Heston stochastic volatility model of asset prices.then,we analyze the three kinds of asset prices jump distribution model and establish the Heston stochastic volatility model which underlying assets followed according to the impact on the valueof the project of the market risk,technology risk and emergencies.At last,the model parameters are estimated by using parallel adaptive MCMC method.The pricing of barrier options and Monte Carlo simulation method are studied in part four.We study the basic analysis framework of financial option pricing firstly,and the pricing methods of different kinds of barrier options are studied,based on the theory.Then,we introduce the principle of Monte Carlo simulation method for solving the option pricing model,finally we analyze the Monte Carlo simulation method in the specific application of option pricing.An empirical study is made on the pricing model proposed in this paper based on the case of hydrogen infrastructure construction R&D project in part five.We construct a barrier compound real option pricing framework at first,subsequently,a stochastic model followed by the expected cash flow is established.Different from the traditional stochastic Brown motion model,we modify the model according to the actual situation,which reflected in the following two aspects:firstly,the Heston stochastic volatility model is used to describe the changeable process of asset price during the period of the project,secondly,we consider two risk factors,which are technological risk and unexpected event,treat the influence of cash flow as a Poisson process,and capture the jump behavior by normal jump and double exponential distribution jump.Then,in the model parameter estimation method,the parallel adaptive MCMC method improved in the financial engineering is used.The Monte Carlo numerical simulation method is applied to calculate the case,and the concrete calculation process is given.Finally,sensitivity analysis and convergence analysis results show that by increasing the number of simulations,the estimation results of double exponential jump diffusion model tends to be in a fixed value with the small fluctuations compared with pure Heston stochastic volatility model and stochastic volatility normal jump diffusion model.At the same time,the convergence of the results also indicated the good stability of this method.Finally,the research summary and prospect are given.We summarize the above theoretical derivation and empirical analysis,and prospect for the future research direction.By combing the theoretical analysis and literature,the conclusions are obtained as follows:Firstly,the empirical results show that the stochastic volatility with double exponential jump diffusion model can describe the changeable trend of cash flow whichcome from R&D project in the future more accurately,and then more accurate valuation results can be obtained.Secondly,the parallel adaptive MCMC method is more efficient than the conventional MCMC method in the estimation of the model parameters.Finally,the analysis results show that the barrier option can reflect the actual characteristics of the R&D project in the compound real option pricing framework,which is more instructive to the decision maker.