基于实物期权的项目投资管理柔性分析

本文针对传统投资评价方法对风险项目投资评估的局限性，以及国内对实物期权方法的研究和应用状况，综合环保产品市场需求的各种不确定性影响因素，建立期权定价模型，并采用动态规划方法进行求解。最后对生产项目投资决策中各因素对管理柔性价值及企业投资策略的影响进行了分析。     

期权博弈投资战略分析体系探讨

随着企业投资所面临环境以及经营过程中不确定性的不断增加,传统的投资项目评价方法由于忽略了不确定性、信息不对称等现实重要影响因素,其弊端日渐凸现。在传统的分析方法难以胜任项目投资分析的情况下,实物期权理论开始为人们所关注。用实物期权评价方法评价企业投资项目时充分考虑了投资的时间价值和管理柔性价值以及减少不确定的信息带来的价值,但利用实物期权评价投资项目的隐含条件是假定企业对投资项目具有垄断性,     

多阶段人力资本投资:基于复合实物期权理论

在知识和信息时代,人力资本投资面临各种不确定因素的影响,往往具有复合实物期权特性.传统的DCF理论忽略了人力资本投资的柔性价值,并且连续型复合期权定价模型也无法适用于具有多标的资产变量和多重不确定性来源的投资.为此,本文以高等教育投资为例,借鉴决策树分析法,提出了一个基于二叉树网格法的多阶段人力资本投资的复合实物期权决策模型.实例应用表明:这一模型很好地弥补了DCF的不足,可以为不确定条件下个人人力资本投资决策提供非常清晰的逻辑分析框架和评价模型.高等教育投资蕴含着复合实物期权投资机会,因此个人接受高等教育投资是值得的.     

实物期权在房地产投资估价中的应用

与传统的投资决策方法相比,实物期权方法不仅考虑到房地产投资的不确定性带来的风险,还体现了其柔性管理和战略投资的价值。介绍了实物期权理论的概念与分类,将实物期权理论引入房地产投资估价中,并通过等待期权实例分析说明了其在实际中的应用。     

实物期权在R&D项目投资决策中的应用

经营管理柔性的存在使得投资者在R&D项目投资决策过程中具有某种相机选择权,这种相机选择权与实物期权具有相似的特点。本文针对这个问题,简要分析了传统投资项目决策NPV法的缺陷与不足,提出从实物期权的角度来分析R&D项目投资决策上的管理柔性,进一步揭示隐含在R&D不确定性投资中的价值,最后对实物期权的应用提出一些改进建议。     

实物期权与技术创新的关系研究——环境不确定性的调节作用

本文将实物期权看作是一种思想,将其分为操作性实物期权和战略性实物期权,把实物期权理论和技术创新理论结合起来,通过建立一个模型,证明实物期权能够提高技术创新水平。文章通过建立回归模型,进一步实证分析了环境不确定性在实物期权与提高技术创新之间的调节作用。研究结果表明,当环境不确定性水平越高时,实物期权对技术创新的提高作用就越大。     

实物期权在R&D项目投资决策中的应用

经营管理柔性的存在使得投资者在R&D项目投资决策过程中具有某种相机选择权,这种相机选择权与实物期权具有相似的特点.本文针对这个问题,简要分析了传统投资项目决策NPV法的缺陷与不足,提出从实物期权的角度来分析R&D项目投资决策上的管理柔性,进一步揭示隐含在R&D不确定性投资中的价值,最后对实物期权的应用提出一些改进建议.     

实物期权在R＆D项目投资决策中的应用

经营管理柔性的存在使得投资者在R＆D项目投资决策过程中具有某种相机选择权，这种相机选择权与实物期权具有相似的特点。本文针对这个问题，简要分析了传统投资项目决策NPV法的缺陷与不足，提出从实物期权的角度来分析R＆D项目投资决策上的管理柔性，进一步揭示隐含在R＆D不确定性投资中的价值，最后对实物期权的应用提出一些改进建议。     

实物期权在制造系统中的应用

实物期权是一种新的有很大发展前途和应用潜力的投资评价方法,人们对它在制造系统中的应用还没有给予足够的重视。本研究从设备柔性、生产柔性和企业总体柔性角度,对实物期权在制造系统中的应用进行了回顾,指出:实物期权是一种对制造系统有具大应用价值的战略管理工具;企业为了提高制造柔性,发展了多种经营形式;制造柔性不但有经营价值,也有战略价值;企业要关注战略柔性,应当把柔性的管理作为重要的战略任务;同时,企业还应对柔性的价值和成本进行权衡,以确定其经济性。     

基于正态云实物期权模型的项目投资决策研究

文章引入正态云理论构建正态云实物期权模型并应用于项目投资决策中,就现金流量与投资成本、现金流量波动率、期权价值进行预测,并全面衡量投资不确定性、决策柔性和项目成长价值,通过实例科学分析项目投资开发时机,降低对"里程碑计划"的过度依赖,证明模型的有效性.     

股权结构上的柔性和上市公司私有化

论文从实物期权理论角度分析了公司在股权结构上的柔性,探讨了上市公司在筹资、股份流动性、支付方式以及估值上的柔性,分析了私人公司在治理结构、资本结构、重组活动以及信息披露方面的柔性,引入上市壳公司和上市公司壳价值的概念,并提出上市公司壳价值的计量公式。用上市公司壳价值解释了公司上市和公司私有化决策,指出可以从上市公司壳价值观察我国资本市场的改进和完善。     

Applying real options theory to HRM: an empirical study of IT software firms in India

Environmental uncertainties can impact the market value of a firm's human assets both positively and negatively, and make return on human assets uncertain over time. However, the strategic human resource management (SHRM) literature has so far focused almost exclusively only on the upside value of human assets of a firm. Real options theory can provide the process heuristics as well as the economic logic for guiding investments in human assets to create sustainable market value for firms operating in uncertain environments. In spite of the growth in popularity of the real options approach, no meaningful progress, however, has been made towards application of this approach to HRM. This study, using data from 108 IT software development firms in India, seeks to address this gap and make three important contributions to the SHRM literature: (1) operationalise the concept of HR options by identifying the HR practices that possess option value; (2) investigate how use of HR options affects firm-level performance; and (3) develop and test a causal model that links the various types of HR options that firms use to exploit uncertainties faced by them with the firm-level operational and financial outcomes. The results support the central hypothesis of the article that use of HR options by firms operating in uncertain environments would have positive impact on their operational and financial performance. Significant differences were observed in the nature of linkages between different types of HR options used to address different types of uncertainties, and the operational and financial performance of the firm.     

A novel option contract integrated with supplier selection and inventory prepositioning for humanitarian relief supply chains

This paper proposes a novel two-period option contract integrated with supplier selection and inventory prepositioning. A two-stage scenario-based mixed possibilistic-stochastic programming model is developed to cope with various uncertainties. The first stage's decisions include supplier selection and capacity reservation level at each supplier/period and the level of inventory prepositioning. Furthermore, decisions regarding the time and exercised amount are made in the second stage. Applicability of the model is validated through a real case study. Finally, several sensitivity analyses are conducted to examine the effect of important parameters on the solutions to gain useful managerial insights.     

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both jumps and stochastic volatility, which are especially prominent in the market after the financial crisis. Some strategic decision making problems also involve American-style options. In this paper, we develop a novel, fast and accurate method for pricing American and barrier options in regime switching jump diffusion models. By blending regime switching models and Markov chain approximation techniques in the Fourier domain, we provide a unified approach to price Bermudan, American options and barrier options under general stochastic volatility models with jumps. The models considered include Heston, Hull–White, Stein–Stein, Scott, the 3/2 model, and the recently proposed 4/2 model and the α-Hypergeometric model with general jump amplitude distributions in the return process. Applications include the valuation of discretely monitored contracts as well as continuously monitored contracts common in the foreign exchange markets. Numerical results are provided to demonstrate the accuracy and efficiency of the proposed method.     

Managing human resources in dynamic environments to create value: role of HR options

HR options as firm investments in human assets in uncertain environments to create the capability to flexibly respond to future contingent events have been recognised as valuable. However, the black box of causal interlinkages between environmental uncertainties, HR options and firm performance is yet to be explored in strategic HRM literature. Based on the data obtained from 108 IT software firms in India, this study empirically explores these linkages using a multi-level causal model. The results suggest that the use of HR options positively mediates the effects of environmental uncertainties on firm performance. The mediating influences of different types of HR options, used by the firms to manage various types of uncertainties affecting their human assets, on the operational and the financial performance of the firms are found to be different. Implications of findings of the study for managing investments in human assets under uncertainty have been discussed.     

资本预算中管理期权理念及其定价分析

传统的资本预算方法认为投资机会一旦出现,就应该立即进行投资,事实上企业不仅可以决定是否投资于某项目,而且可以决定何时从事该项目的投资,我们称之为管理期权。本文利用二叉树和复制技术对隐含在投资项目中的管理期权进行了定价,并指出"二叉树法"低估了管理期权的价值。     

管理期权在投资决策中的应用探讨

传统决策方法忽视了对项目未来状况把握的灵活性,管理期权正好具有这种灵活性,它更真实地分析项目的全过程的变化因素以及项目之间的影响,更重视从市场角度来考虑项目价值,三类典型期权：扩张（或收缩）期权,放弃的期权,延迟的期权各有其应用的灵活性。     

Public Funding for Science and the Value of Corporate R&D Projects; Evidence from Project Initiation and Termination Decisions in Cell Therapy

How do firms decide which R&D projects to pursue and which ones to cast aside? We use a real options approach to advance our understanding of how firms manage uncertainties in R&D project management, in particular uncertainties linked to the external scientific environment. Our findings highlight how these uncertainties have an impact on the initiation and discontinuation of R&D projects. We examine these effects in the context of shifts in US science policy in the cell therapy field, using a dataset on 570 R&D projects in the global cell therapy sector, initiated over the period 1986–2011. We find decreased R&D project initiation rates and higher discontinuation rates for projects initiated by US firms in the aftermath of policy shifts that increased uncertainties about public funding support for US cell therapy research. We also highlight how this effect was reversed as the US public funding outlook for such research recovered.     

Options Compensation as a Commitment Mechanism in Oligopoly Competition

We analyze how CEO stock options compensation can be used as a commitment device in oligopolistic competition. We develop a two‐stage model where shareholders choose managerial compensation to commit their managers to being aggressive in equilibrium. Our results may explain why some shareholders appear to incentivize ‘excessive’ risk taking through stock options compensation. We analyze how our results are impacted by product quality, marginal cost, product differentiation, and industry concentration. As motivation for our research, we show that there exists positive empirical correlation between industry concentration and options compensation vega within a sample of firms, as suggested by our model. Copyright © 2016 John Wiley & Sons, Ltd.