Please wait a minute...
 首页  期刊介绍 期刊订阅 联系我们 横山亮次奖 百年刊庆
 
最新录用  |  预出版  |  当期目录  |  过刊浏览  |  阅读排行  |  下载排行  |  引用排行  |  横山亮次奖  |  百年刊庆
清华大学学报(自然科学版)  2019, Vol. 59 Issue (1): 73-84    DOI: 10.16511/j.cnki.qhdxxb.2018.22.051
  经济与公共管理 本期目录 | 过刊浏览 | 高级检索 |
模糊实物期权框架下初创企业估值
郑征, 朱武祥
清华大学 经济管理学院, 北京 100084
Start-ups valuation predicted by fuzzy real options theory
ZHENG Zheng, ZHU Wuxiang
School of Economy and Management, Tsinghua University, Beijing 100084, China
全文: PDF(942 KB)  
输出: BibTeX | EndNote (RIS)      
摘要 为量化描述初创企业估值不确定性,该文赋予关键参数区间变化,推导出基于模糊理论的现金流折现模型和复合实物期权定价模型。研究表明:模糊实物期权是对现金流折现模型的改进,通过获得企业价值变化范围,使得估值结果更加合理;对模糊参数的敏感性分析表明,初创企业价值不确定性与模糊性负相关,最小取值与左宽度正相关,最大取值与右宽度正相关;分析不同情形下初创企业价值状态,可提高投资决策的准确性。通过案例分析,进一步验证了模糊实物期权在初创企业多阶段价值评估中的有效性。
服务
把本文推荐给朋友
加入引用管理器
E-mail Alert
RSS
作者相关文章
郑征
朱武祥
关键词 模糊理论实物期权初创企业价值评估    
Abstract:Key parameter interval changes are used to quantify start-ups uncertainty and to deduce the discounted cash flow (DCF) and a compound real options model based on fuzzy theory. This research shows that the fuzzy real option method improves the DCF by giving the range of values with a fuzzy uncertainty to make more reasonable valuations. The fuzzy parameter sensitivity analysis shows that the start-ups uncertainty negatively correlates with the probability, the minimum value positively correlates with the left width, and the maximum value positively correlates with the right width. Analyses of the start-ups values for different situations can improve the investment decision accuracy. A case study further verifies the effectiveness of the fuzzy real options method in multi-stage investments for start-ups.
Key wordsfuzzy theory    real options    start-ups    valuation
收稿日期: 2018-05-30      出版日期: 2019-01-16
通讯作者: 朱武祥,教授,E-mail:zhuwx@sem.tsinghua.edu.cn     E-mail: zhuwx@sem.tsinghua.edu.cn
引用本文:   
郑征, 朱武祥. 模糊实物期权框架下初创企业估值[J]. 清华大学学报(自然科学版), 2019, 59(1): 73-84.
ZHENG Zheng, ZHU Wuxiang. Start-ups valuation predicted by fuzzy real options theory. Journal of Tsinghua University(Science and Technology), 2019, 59(1): 73-84.
链接本文:  
http://jst.tsinghuajournals.com/CN/10.16511/j.cnki.qhdxxb.2018.22.051  或          http://jst.tsinghuajournals.com/CN/Y2019/V59/I1/73
  表1 γ、αβ 对 NPV和实物期权价值的敏感性分析
  表2 某初创企业现金流
  表3 不同γ水平下模糊 NPV和模糊实物期权价值
[1] BLACK F S, SCHOLES M S. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973, 81(3):637-654.
[2] MYERS S C. Determinants of corporate borrowing[J]. Journal of Financial Economics, 1977, 5(2):147-175.
[3] 郑征, 朱武祥. 运用复合实物期权方法研究初创企业的估值[J]. 投资研究, 2017, 36(4):118-135. ZHENG Z, ZHU W X. Application of compound real options method in the start-ups valuation[J]. Review of Investment Studies, 2017, 36(4):118-135. (in Chinese)
[4] ZADEH L A. Fuzzy sets[J]. Information and Control, 1965, 8(3):338-353.
[5] BUCKLEY J J. The fuzzy mathematics of finance[J]. Fuzzy Sets and Systems, 1987, 21(3):257-273.
[6] CARLSSON C, FULLÉR R. A fuzzy approach to real option valuation[J]. Fuzzy Sets and Systems, 2003, 139(2):297-312.
[7] YOSHIDA Y. A discrete-time model of American put option in an uncertain environment[J]. European Journal of Operational Research, 2003, 151(1):153-166.
[8] WU H C. Pricing European options based on the fuzzy pattern of Black-Scholes formula[J]. Computers & Operations Research, 2004, 31(7):1069-1081.
[9] WU H C. Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options[J]. Applied Mathematics and Computation, 2007, 185(1):136-146.
[10] XU W J, PENG X L, XIAO W L. The fuzzy jump-diffusion model to pricing European vulnerable options[J]. International Journal of Fuzzy Systems, 2013, 15(3):317-325.
[11] WANG X D, HE J M, LI S W. Compound option pricing under fuzzy environment[J]. Journal of Applied Mathematics, 2014:875319.
[12] TAVAKKOLNIA A. A binomial tree valuation approach for compound real options with fuzzy phase-specific volatility[C]//Proceedings of the 12th International Conference on Industrial Engineering. Tehran, Iran, 2016:73-78.
[13] BI X, WANG X F. The application of fuzzy-real option theory in BOT project investment decision-making[C]//Proceedings of the 16th International Conference on Industrial Engineering and Engineering Management. Beijing, China, 2009:289-293.
[14] PUSHKAR S, MISHRA A. IT project selection model using real option optimization with fuzzy set approach[M]//ARIWA E, EL-QAWASMEH. Digital enterprise and information systems. Berlin, Germany:Springer, 2011, 194:116-128.
[15] WANG Q, KILGOUR D M, HIPEL K W. Facilitating risky project negotiation:An integrated approach using fuzzy real options, multicriteria analysis, and conflict analysis[J]. Information Sciences, 2015, 295:544-557.
[16] BIANCARDI M, VILLANI G. Robust Monte Carlo method for R&D real options valuation[J]. Computational Economics, 2017, 49(3):481-498.
[17] DE ANDRÉS-SÁNCHEZ J. An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market[J]. Journal of Intelligent & Fuzzy Systems, 2017, 33(4):2509-2521.
[18] ZMEŠKAL Z. Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option[J]. European Journal of Operational Research, 2001, 135(2):303-310.
[19] YAO J S, CHEN M S, LIN H W. Valuation by using a fuzzy discounted cash flow model[J]. Expert Systems with Applications, 2005, 28(2):209-222.
[20] WANG J, HWANG W L. A fuzzy set approach for R&D portfolio selection using a real options valuation model[J]. Omega, 2007, 35(3):247-257.
[21] SEMERCIOGLU N, TOLGA A Ç. A multi-stage new product development using fuzzy type-2 sets in a real option valuation[C]//Proceedings of 2015 IEEE International Conference on Fuzzy Systems. Istanbul, Turkey, 2015:1-7.
[22] 赵振武, 唐万生. 模糊实物期权理论在风险投资项目价值评价中的应用[J]. 北京理工大学学报(社会科学版), 2006, 8(1):49-51. ZHAO Z W, TANG W S. The application of fuzzy real option theory in the venture investment value evaluation[J]. Journal of Beijing Institute of Technology (Social Sciences Edition), 2006, 8(1):49-51. (in Chinese)
[23] 张维功, 何建敏, 吕宏生. 基于B-S公式的模糊实物期权研究[J]. 统计与决策, 2009(3):143-145. ZHANG W G, HE J M, LÜ H S. Research on fuzzy real option based on B-S formula[J]. Statistics and Decision, 2009(3):143-145. (in Chinese)
[24] 张茂军, 秦学志, 南江霞. 基于三角直觉模糊数的欧式期权二叉树定价模型[J]. 系统工程理论与实践, 2013, 33(1):34-40. ZHANG M J, QIN X Z, NAN J X. Binomial tree model of the European option pricing based on the triangular intuitionistic fuzzy numbers[J]. Systems Engineering:Theory & Practice, 2013, 33(1):34-40. (in Chinese)
[25] 李双兵, 冀巨海. 高新技术企业风险投资价值评估:基于模糊实物期权视角[J]. 财会通讯, 2016(5):8-10. LI S B, JI J H. Value evaluation of venture capital in hi-tech enterprises:Based on fuzzy real option perspective[J]. Communication of Finance and Accounting, 2016(5):8-10. (in Chinese)
[26] 赵昕, 薛岳梅, 丁黎黎. 灰色模糊环境下基于跳扩散过程的脆弱期权定价模型[J]. 系统工程, 2017, 35(12):35-42. ZHAO X, XUE Y M, DING L L. Vulnerable option pricing model based on jump-diffusion process for grey ambiguity condition[J]. Systems Engineering, 2017, 35(12):35-42. (in Chinese)
No related articles found!
Viewed
Full text


Abstract

Cited

  Shared   
  Discussed   
版权所有 © 《清华大学学报(自然科学版)》编辑部
本系统由北京玛格泰克科技发展有限公司设计开发 技术支持:support@magtech.com.cn