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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/76533


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    题名: Venture capital evaluation model using real options
    作者: Lin, T.T.;Tu, Chia Jung
    贡献者: 財管系
    关键词: Break even;Hitting time;Initial public offerings;Project values;Real Options;Venture Capital;Industry;Optimization;Investments
    日期: 2007
    上传时间: 2015-07-13 16:54:30 (UTC+8)
    摘要: 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.
    關聯: Journal of Interdisciplinary Mathematics, 10(4), 459-477
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1080/09720502.2007.10700507
    DOI: 10.1080/09720502.2007.10700507
    显示于类别:[財務管理學系] 期刊論文

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