Application Of Nonlinear Black-scholes Model In Intellectual Property Value Assessment

Under the trend of industrial transformation,the evaluation of intellectual property value has become an important part of enterprise value evaluation.In the traditional intellectual property evaluation,the evaluators usually use the appraisal method of the tangible assets to evaluate the intangible assets,that is,the cost method,the market law and the income method,in which the income method is the most commonly used method.In addition to using traditional physical assets to assess intellectual property,some scholars have suggested that the intellectual property held by enterprises can be regarded as a call option,so that the value of intellectual property held by the enterprise can be evaluated by option pricing model.Black-Scholes option pricing model,as a common option pricing model,compared with other options pricing models have a higher degree of accuracy in intellectual property evaluation has many applications.Since the Black-scholes option pricing model is a theoretical model,it is quite different from the actual situation,and many researchers have modified the model in different ways in the follow-up study.The results are mostly linear and do not well describe the nature of intellectual property.Considering the nature of intellectual property,the implied volatility which has a great influence on option price is assumed to be a continuous changing function related to the value of time and the underlying assets,and a nonlinear black-scholes option pricing model is established.The partial differential equations obtained from the nonlinear black-scholes model are solved by using the asymptotic method of the solution,and the results obtained by the model are analyzed using the practical examples.A method for pricing intellectual property is obtained,which is different from the modified Black-scholes model parameters.