高新技术企业价值的实物期权评估方法及应用研究

As the micro-main body of innovative economy, the operation of high-tech enterprises has the characteristics of high proportion of intangible assets, high risk and high profit. How to break through the limitations of traditional value assessment and form an evaluation method that conforms to the characteristics of high-tech enterprises and truly reflects the value of enterprises has become an important proposition in the field of enterprise value assessment under the background of the new era. Based on the incomplete market and limited rationality of enterprise decision makers, this project uses real option pricing method to explore the theory and application of real option valuation for high-tech enterprises. Firstly, under the incomplete market, the real option valuation models based on decision-maker’s behavior are constructed to evaluate the ability of enterprise value creation objectively and truly. Then, an improved simulated maximum likelihood estimation method is designed to calibrate the parameters of the valuation model. Under the framework of enterprise heterogeneity, a parameter system adapting to the experience of Chinese high-tech enterprises is obtained. Finally, an implicit and efficient stochastic algorithm is designed to implement the valuation model numerically. Considering the impact of enterprise life cycle, the real option value of enterprises in different stages of development is evaluated, which provides practical and effective theoretical basis and practical guidance for high-tech enterprises, asset appraisal institutions and regulators.

作为创新经济的微观主体，高新技术企业的经营具有高无形资产占比，高风险，高收益的特点。如何突破传统价值评估的局限性，形成符合高新技术企业自身特点、能真正反映企业价值的评估方法，成为新时代背景下企业价值评估领域的重要命题。本项目以不完全市场和企业决策者有限理性为研究前提，运用实物期权定价方法，探讨高新技术企业的实物期权价值评估的理论及应用。首先，在不完全技术竞争市场下，构建基于决策者行为的企业实物期权估值模型，以客观真实地评价高新技术企业价值创造能力。然后，改进拟似然估计方法对估值模型进行参数校准，在企业异质性框架下，寻求适应我国高新技术企业经验的参数体系。最后，设计隐式高效随机算法对估值模型进行数值实现，考虑企业生命周期影响，评估处于不同发展阶段的企业实物期权价值，为高新技术企业、资产评估机构和监管者提供切实有效的理论依据和实践指导。

本项目研究通过吸收实物期权定价理论、行为金融理论、金融随机分析和模拟仿真技术等最新研究成果，以不完全市场和决策者有限理性为研究前提，针对高新技术企业的价值评估问题，运用实物期权定价方法对企业期权价值进行深入研究，为相关企业、资产评估机构和监管者提供切实有效的理论依据和实践指导。一是在不完全市场下考虑投资决策的有限理性行为，通过构建期权估值模型研究美式期权的合理价值，进一步构建基于决策者行为的高新技术企业实物期权估值模型。二是对构建的期权定价模型参数进行校准，设计智能搜索算法改进的参数估计方法来修正模型参数。进一步考虑高新技术企业的性质、行业、规模等，在企业异质性框架下，获得适应中国高新技术企业经验的参数体系。三是研究双尺度随机波动率的期权定价模型，即同时考虑短期和长期波动因素，设计隐式高效随机算法对模型进行数值实现。进一步研究处于不同发展阶段的企业实物期权价值，分析异质企业价值创造差异与变化，优化企业投资决策增强企业价值管理。