Evaluation And Research For The Venture Capital Projects Based On Real Option

The option pricing theory is the traditional searching field in the modern finance, while the evaluation of venture capital is the hot focus in economics and finance. This paper puts the option pricing and the evaluation of venture capital together to find the ways to apply the real option methods in the evaluation of venture capital.On base of the characters of venture capital and real option, this paper discuss the factors of real option in venture capital and the classes of the real option in every procedure.The main contributions of this paper is firstly building a three-dimensional model for real option evaluation of venture capital, from which the investors can make use of it to choose the core option for building a complex option.Secondly, on base of risk-neutral and characters of individual option, from the maturity of venture capital, a complex option has been build to take the later option as the cash of the former.Thirdly, the Monte Carlo simulation has been used to solve the option by simulating the random diffusion procedure of the risk assets, and to solve the value of the complex option after 5000 times of simulation.Finally, the real example has been demonstrated show how to use the three-dimensional model and the Monte Carlo simulation to solve the complex option. The results indicate that compared with the NPV model, the real option method results in a more general and reasonable conclusion.The innovations and characters of this paper are listed as follow: firstly, building an evaluation model of real option based on the three-dimensional model to offer an analysis framework for the core option choosing; secondly, building the venture capital complex evaluation model, based on the later option as the cash of the former; thirdly, solving the value of the complex option by the Monte Carlo simulation and complementing the deficiencies of the B-S model and binomial model to enhance the exactness of pricing.