Study on Fuzzy Compound Real Options Pricing Model of Venture Capital Project Investment
|Course||Management Science and Engineering|
|Keywords||project venture capital investment compound options triple tree model trapezoid fuzzy numbers|
Since the financial tsunami in 2008,what the enterprises all over the word facing is rapidly developed, continue changed environment. All kinds of uncertain factors make the risk, which strategic investment project facing, higher. In current environment, the investment strategy declines to cautious for enterprise venture capital project. How to work out a venture capital investment pricing method that reflects the facts more objectively is a necessary question.At present, the main pricing methods of project investment decision are traditional investment decision methods, real options approaches and so on. The strategic venture capital investment projects of enterprises generally have characteristics of high-risk, high-return, long-term, multi-stage and so on. The traditional investment decision methods neglect the value of management flexibility, underestimate (or overestimate)the value of the investment project, so they can not evaluate quite rationally. The mind that extending financial real options into the evaluation of enterprises make the management flexibility quite evaluated. However, traditional real options approaches only take the uncertain factor randomicity into consideration but neglect the uncertain factor fuzziness.In this dissertation, basing on the related theories of real options, it introduces the concept of fuzzy number, combines trapezoid fuzzy number with triple tree model and models the fuzzy compound real options pricing of venture capital investment project. The existing studies of fuzzy real options pricing mostly focus on combining fuzzy number with the continuous real options model that is Black-Scholes, however, there are few studies combining fuzzy number with the discrete real options model.In this dissertation, it just takes trapezoid fuzzy number theory into triple tree compound model, builds the improved model, establishes the framework that how to apply the new improved model to solve the venture capital investment decision problems and takes a specific example to verify the validity of the new model.And then, by empirical research, it analyses and compares with the pricing results of the NPV method of traditional investment decision methods, the Monte Carlo real options of traditional real option approaches and fuzzy compound real options approach and makes a comment on these pricing results.At last, it gives a summary of this dissertation, puts forward the deficiencies in the study and suggests the further development of the research.