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https://ah.lib.nccu.edu.tw/handle/140.119/76533
題名: | Venture capital evaluation model using real options | 作者: | Lin, T.T.;Tu, Chia Jung | 貢獻者: | 財管系 | 關鍵詞: | Break even; Hitting time; Initial public offerings; Project values; Real Options; Venture Capital; Industry; Optimization; Investments | 日期: | 2007 | 上傳時間: | 13-Jul-2015 | 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 | 資料類型: | article | DOI: | http://dx.doi.org/10.1080/09720502.2007.10700507 |
Appears in Collections: | 期刊論文 |
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