专利价值的评估及实现策略

华中科技大学硕士学位论文专利价值的评估及实现策略姓名：程勇申请学位级别：硕士专业：金融学指导教师：简志宏20060401IV:VAbstractThepatentisanimportantcomponentoftheintellectualpropertyright,andavaluabletypeofintangibleassets.Theevaluationofpatentprojectisofextremeimportanceinmoderncapitalinvestmentdecisionsoffirms.Realoptionsmethodisanextensionoffinancialoptionstheorytorealassets.Theinvestorwhohastheoptionshastheright(butnoobligation)toinvest,whichaddsvaluetotheprojectanddecreasetherisk.Sousingrealoptionsmethodtoevaluateinvestmentprojects,thecomplicatedoptiontoinvestcanbesimulatedandvaluedreasonably.Thisthesisdiscussedthetraditionalmethodsofprice-makingofpatentandanalysistheweaknessoftraditionalmethods.Onthebasicofthosetraditionalmethods,thethesisusedtherealoptionmethod.Withthecomplexstructuresandcharactersofthepatent,quantitativeanalysisofthevaluationoftheoptiontoinvestismoredifficultthanthatofordinaryfinancialoptionpricingmode.Accordingtotheexistingvaluationtheoriesonfinancialassets,theeasyderivativesecuritiesmayhavethesimplecomputationmodelintheory,butvaluationformostoftheoptiontoinvestcannotbesolvedeffectively,sothetechniqueofnumericalsimulationhasbecomeaveryimportantmeansofevaluatingtheoptiontopatent.ThenumericalsimulationmethodofthisthesisisMonteCarlosimulation.Thisthesisdiscussedthetraditionalmethodsofprice-makingofpatentandanalysistheweaknessoftraditionalmethods.Onthebasicofthosetraditionalmethods,thethesisusedtherealoptionmethod.Thisthesismainlyresearchesprice-makingofpatentmodel.Themodeluserealoptionsapproachtovalueinvestmentstrategiesunderregulation,andsetsupanoption-pricingmodel.Thevalueoftheproject,whosepathissimulatedandanalyzednumerically,followsageometricBrownianmotion.Thispartderivestheoptionpricingformulabyusingthedynamicprogrammingmethod.Solvingtheformulanumericallyandanalyzingthenumericalresults,influencesofregulationonpatentinvestmentarefoundout.Thepatentinvestmentoptionsintheidleandactivestatesareevaluatedrespectively,thethresholdsofentryandexitareobtained.KeyWords:Price-makingofpatentRealoptionPatentstrategyIII2006428___111.1(WTO)(TRIPS)2WTO1.2,,,,[3][2],3[4]1.2.1()1()24123123451.2.2123641.2.317231.2.4(DCF)(CAPM)DCFDCF80DCFDCFDCF8DCF1DCFNPVNPV2DCF,DCF(),,,[5],,,,,,,,9,[6](SPA),,,,SPA,,[7],[17]B-S[18][8]1.31.3.1(realoption)1973B-S10(1977)1984(1985)(operating)(financing)(Dixit)(Pindyck)Black-Scholes[10]1.3.2DCFDCFStewartMyers(1977)DCFR&DTrigeorgisMason(1987)11DCF()(Amram&Kulatilaka,2001)1.3.3(optionto12defer)(time-to-buildoption)(optiontoalteroperatingscale)(optiontoabandon)(optiontoswitch)(growthoption)(multipleinteractingoptions).90(Brennan&Schwartz,1985PaddockSiegel&Smith,1988)90R&D[17]B-S[18],[19]1.4131.51.5.1141.5.21522.1TICRR162.2fRC),(0CRF),(1CRF),(1CRFHCLC)(LHCCHCLCHCLC[9]RRRRdzRdtdRsm+=2.1CCCCdzCdtdCsm+=2.2RmCmRsCsRCRdzCdz17RCrfRC),,(tCRff=2.3ItoCCRRCCRRCRCdzCfRdzRfdtCfCCRfRCRfRtfCCfRRfdfssssrssmm∂∂+∂∂+∂∂+∂∂∂∂∂+∂∂+∂∂+∂∂=)2121(2222222222.42.12.22.4RRRzRtRRΔ+Δ=Δsm2.5CCCzCtCCΔ+Δ=Δsm2.6CCRRCCRRCRzCCfzRRftCfCCRfRCRfRtfCCfRRffΔ∂∂+Δ∂∂+Δ∂∂+∂∂∂∂∂+∂∂+∂∂+∂∂=Δssssrssmm)2121(2222222222.7fΔRΔCΔfRCtΔItofRCIfRf∂∂RCf∂∂CICCfRRffI∂∂+∂∂+-=2.8tΔIΔCCfRRffIΔ∂∂+Δ∂∂+Δ-=Δ2.92.52.62.72.918tCfCCRfRCRfRtfICCRRΔ∂∂+∂∂∂+∂∂+∂∂-=Δ)2121(222222222ssrss2.10trIIΔ=Δ2.11r2.82.102.11tCCfRRffrtCfCCRfRCRfRtfCCRRΔ∂∂+∂∂+-=Δ∂∂+∂∂∂+∂∂+∂∂-)()2121(222222222ssrssrfCfCCRfRCRfRCrCfRrRftfCCRR=∂∂+∂∂∂+∂∂+∂∂+∂∂+∂∂2222222222121)(ssrss2.12fHCIICPFCPFHH-=),(),(102.13CCPFCCPFHH∂∂=∂∂),(),(102.14LCEECPFCPFLL-=),(),(102.15CCPFCCPFLL∂∂=∂∂),(),(102.16F192.3MonteCarlo()(3)Boyle[22]MonteCarlo[40]),,(tCRff=RRRRdzRdtdRsm+=2.17CCCCdzCdtdCsm+=2.18RdzWeinerCdzrdtdzdzERRr=)(CdzdBdzdzRC21rr-+=2.19dBRdzWeinerLSM[0,T]nnTt=ΔnBermudan)(tVFt)(tVΩtT20{}0,max)(IVVFTT-=Ttt{[]⎭⎬⎫+Ω=+ttttVVFErVVF)(11,)(max)(12.20Ett)(tVΩ[]ttVVFE)(1+LSM(t+1t){}IVVtt:tVt)(tVftV)(tVf)(tVΩ)(tVΩ0)()(∧∧Ω=ttVVf)(tVΩ02.4T=20C0=1500C1=150C2=20I=3000t=1R0=5C0=30o1=0.2u1=-0.02o2=0.1u2=0.02r-0.51000RC212.4.12-12-1t=0t=T2.4.2222-22-34-2T20t1000200001490657911931RL23RLRL2-3200002002.4.32-42-41001000MonteCarloMonteCarlo242.4.4n2-52-51252.4.52-62-72-62-7Po1=0.0201=0.2o2=0.1o2=0.22-726MonteCarloMonteCarloMonteCarlo2733.11232843.229R&DR&D1%R&D5~10%20%~30%R&D23%80%46%1999R&D0.72%(2%3%)3.33020023463.412313432(patentpool)5333444.14.23520044536[1],.[J].,2002(4):76-79[2].[J].,1997(1):22-27[3].[J].,1996(6):51-56[4],.[J].,2005(5):119-125[5].[J].,2005(2):130-132[6],.[J].,1999(6):52-59[7].[J].,1999(6):47-51[8].[J].,1998(3):66-69[9],,,().[M].,2002[10].[J].,2001(6):12-13[11],.[J].,2001(11):59-62[12],.[J].,2000(2):215-218[13],.[J].,1998(9):8-13[14],.[J].,2000(4):34-39[15],.[J].,2001(2):17-2437[16],.[J].,2004:36-39[17],.[J].,2002.6:101-104[18],,.[J].,2004(5):56-60[19],.[J].,2001(2):54-58[20].R&D[J].,2000(2):108-112[21],.[J].,2002(4):27-29[22],,..(),1986[23],.[J].,2001(9):58-59[24].[J].,1998(2):116-120[25].[J].,1998(5):85-89[26].R&D[J].,2003(2):73-76[27]BlackF,ScholesM.Thepricingofoptionsandcorporateliabilities[J],JournalofPoliticalEconomy,1973,81(3):637-654[28]MertonR.Theoryofrationaloptionpricing[J],BellJournalofEconomicsandManagementScience,1973,4(1):141-183