[1] He Qizhi, He Jianmin,. Real option pricing method for R&D investmentunder changing risk-free rate and discount rate [J]. Journal of Southeast University (English Edition), 2008, 24 (1): 119-123. [doi:10.3969/j.issn.1003-7985.2008.01.026]

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Real option pricing method for R&D investmentunder changing risk-free rate and discount rate()

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Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:

24

Issue:

2008 1

Page:

119-123

Research Field:

Economy and Management

Publishing date:

2008-03-30

Info

Title:

Real option pricing method for R&D investmentunder changing risk-free rate and discount rate

Author(s):

He Qizhi¹;  2;  He Jianmin¹

¹School of Economics and Management, Southeast University, Nanjing 210096, China
²School of Statistics, Anhui University of Finance and Economics, Bengbu 233030, China

Keywords:

risk-free interest rate;  discount rate;  polynomial spline;  real option

PACS:

F830

DOI:

10.3969/j.issn.1003-7985.2008.01.026

Abstract:

The polynomial spline model, which belongs to the static term structure model of interest rates, is studied.Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates.A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula.Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.

References:

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[5] He Qizhi, He Jianmin.Analysis on R& D investment decision based on term structure and game theory [J].Chinese Journal of Management, 2007, 4(5):580-583.(in Chinese)
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[11] He Jianmin, He Qizhi.Research on term structure of treasury interest rates using a new model [C]//International Conference on Wireless Communications, Networking and Mobile Computing.Piscataway:IEEE, 2007:4097-4100.
[12] He Qizhi.A new method for heteroscedasticity of term structure model using exponential splines[C]//International Conference on Wireless Communications, Networking and Mobile Computing.Piscataway:IEEE, 2007:4068-4071.
[13] Chen Jingfeng, Ji Li.Real option to discount rate—expected yield rate to maturity [J].China Management Information, 2005(12):33-34.(in Chinese)
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[15] Liu Jinfu, Li Xuewei.Using stochastic process [M].Beijing:China Railway Press, 2000:137-140.(in Chinese)

Memo

Memo:

Biographies: He Qizhi(1974—), male, graduate;He Jianmin(corresponding author), male, professor, nj.jian@public1.ptt.js.cn.
Foundation items: The Achievements of Young Fund Project of Humanities and Social Science of Ministry of Education(No.07JC790028), the National Natural Science Foundation of China(No.70671025).
Citation: He Qizhi, He Jianmin.Real option pricing method for R& D investment under changing risk-free rate and discount rate[J].Journal of Southeast University(English Edition), 2008, 24(1):119-123.

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