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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76533


    Title: Venture capital evaluation model using real options
    Authors: Lin, T.T.;Tu, Chia Jung
    Contributors: 財管系
    Keywords: Break even;Hitting time;Initial public offerings;Project values;Real Options;Venture Capital;Industry;Optimization;Investments
    Date: 2007
    Issue Date: 2015-07-13 16:54:30 (UTC+8)
    Abstract: This study applies the real options approach to elucidate investment timing for venture capital companies. This analysis attempts to determine the optimal hitting time t* that makes the gross value of project at maturity time T of initial public offering. When this value discounted back to t* equals the expected variable cost invested at time t*. The venture capital company will then make a break even. Through numerical analysis, under situations of actual and expected discount rates, the optimal hitting time t* is shown as 1.58 years and 3.996 years, respectively. Project value is $0.51(million) and $2.02 (million), respectively. Furthermore, with an actual discount rate, determines that the function of optimal hitting time t* with speed of mean reversion a is monotonically decreasing. Conversely, with maturity time T, mean reversion level b and σ are monotonically increasing. By applying of expected discount rate, the function of optimal hitting time t* with σ, and speed of mean reversion a are both monotonically decreasing. Mean reversion level b is monotonically increasing with maturity time T. © Taru Publications.
    Relation: Journal of Interdisciplinary Mathematics, 10(4), 459-477
    Data Type: article
    DOI link: http://dx.doi.org/10.1080/09720502.2007.10700507
    DOI: 10.1080/09720502.2007.10700507
    Appears in Collections:[Department of Finance ] Periodical Articles

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