关键词: 研发项目, 实物期权, 二叉树模型, 价值漏损

Abstract: A model for research and development project option pricing decision making on considering value leakage is presented. According to research and development project investment decision in the underlying expansion options, as well as the option to exist as cash flow or convenience returns of value leakage and on the basis of traditional binomial tree pricing model, the single period, two stage and three phase binomial tree pricing method including value leakage is given. The option pricing model of research and development on value leakage is established. The availability and accuracy of the option pricing method on value leakage are verified by analyzing the numerical example.

Key words: research and development project, real option, binomial tree model, value leakage