Анализ инновационно-инвестиционных проектов со встроенными реальными опционами

Игнатий Игоревич Телехов

doi:10.21638/11701/spbu05.2016.309

Authors

Игнатий Игоревич Телехов St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0003-4948-554X

DOI:

https://doi.org/10.21638/11701/spbu05.2016.309

Abstract

This article addresses the issue of innovation project valuation in the presence of embedded real options. It provides a review of real options analysis schemes present in the literature. We show that different authors propose similar sequences of stages of real options valuation, but devote much less attention to planning of real options execution and developing rules of switching between stages. Based on this comparison an innovation project analysis algorithm with embedded real options is proposed.
The specific features of this algorithm are as follows: it augments real options valuation with the analysis of conditions of their implementation; development of plan of real options implementation management and design of ties system between different stages of the algorithm. We use a hypothetical example to show the work of the proposed algorithm. Refs 26. Figs 4.

Keywords:

innovations, innovation projects, investments, innovations management, real options, R&D investment project analysis

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Author Biography

Игнатий Игоревич Телехов, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

Assistant

References

Литература на русском языке

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References in Latin Alphabet

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Translation of references in Russian into English

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Fokina O. M. Ispol’zovanie real’nykh optsionov dlia otsenki investitsionnykh reshenii [Real option theory use for the investment decision evaluation]. Vestnik Tomsk State University, 2009, issue 3 (71), pp. 345–350. (In Russian)

Amram M., Kulatilaka N. Real Options: Managing Strategic Investment in an Uncertain World. Boston, Massachusetts, Harvard Business School Press, 1999. 256 p.

Antikarov V., Copeland T. Real Options: A Practitioner’s Guide. New York, TEXERE, 2003. 384 p.

Azevedo A., Paxson D. Developing real option game models. European Journal of Operational Research, 2014, no. 237, pp. 909–920.

Black F., Scholes M. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 1973, no. 81, issue 3, pp. 637–659.

Changa Sh., Li Y., Gao F. The impact of delaying an investment decision on R&D projects in real option game. Chaos, Solitons and Fractals, 2016, no. 87, pp. 182–189.

Cox J. C., Ross S. A., Rubinstein M. Option pricing: A simplified approach. Journal of Financial Economics, 1979, vol. 7, issue 3 (September), pp. 229–263.

Dixit A. K., Pindyck R. S. Investment Under Uncertainty. New Jersey, Princeton University Press, 1994. 482 p.

Hull J. C. Options, Futures and Other Derivatives. 4th ed. Upper Saddle River (New Jersey), Prentice Hall, 2003. 756 p.

Miller M. H. The History of Finance: An Eyewitness Account. The History of Finance: An Eyewitness Account, 2000, vol. 13, no. 2 (Summer), pp. 8–14.

Moon M., Schwartz E. S. Evaluating research and development investments in innovation, infrastructure, and strategic options. Project Flexibility, Agency and Competition: New Developments in the Theory and Application of Real Options. Eds. M. J. Brennan, L. Trigeorgis. Oxford, Oxford University Press, 2000, pp. 85–106.

Mun J. Real options analysis: tools and techniques for valuing strategic investments and decisions. New Jersey, John Wiley & Sons, 2002. 414 p.

Myers S. C. Determinants of corporate borrowing. Journal of Financial Economics, 1977, vol. 5, issue 2 (November), pp. 147–175.

Smit H. T. J., Trigeorgis L. Real options and games: Competition, alliances and other applications of valuation and strategy. Review of Financial Economics, 2006, no. 15, pp. 95–112.

Smit H. T. J., Trigeorgis L. Strategic Investment: Real Options and Games. New Jersey, Princeton University Press, 2012. 492 p.

Wang J., Wang C.-Y., Wu C.-Y. A real options framework for R&D planning in technology-based firms. Journal of Engineering and Technology Management, 2015, no. 35, pp. 93–114.