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

摘要： 提出了一种考虑价值漏损的研发项目期权定价决策模型。针对研发项目投资决策中隐含的扩张期权，以及期权中以现金流或便利收益存在的价值漏损，在传统的二叉树定价模型的基础上，给出了包含价值漏损的单期、两期和三期二叉树期权定价方法，建立了考虑价值漏损的研发项目期权定价模型。通过算例将两种结果进行了比较分析，结果表明考虑价值漏损的实物期权定价能更准确、有效地估算研发项目的价值。

关键词: 研发项目, 实物期权, 二叉树模型, 价值漏损