生技製藥產業鑑價模式之研究:實質選擇權之應用
Date Issued
2005
Date
2005
Author(s)
葉姿吟
DOI
zh-TW
Abstract
In the biotech pharmaceutical industry, evaluation plays a vital role in various stages of a product life cycle, from initial fund raising, seasoned equity offering, authorization, to the auctioning of patents, which must be based on appropriate evaluation tools. However, as drug discovery normally incurs high R&D costs and involves high uncertainty from various sources, the invested company shall have a certain degree of decision flexibility to adjust their strategies, even abandon the project during investing period. Therefore, an adequate evaluation approach shall reflect this kind of decision nature and flexibility. Unfortunately, the traditional net present value approach cannot satisfy such an evaluation need.
The purpose of the present research is to apply the real options approach to the case of biopharmaceutical evaluation. We adopt American option method to evaluate a new drug development project and use the Least Squares Monte Carlo Simulation to price the options. In addition to financial parameters, we also consider some industry-level parameters, including technological uncertainty, industry dynamics, potential new entrants, patent term, which significantly influences the project value. Our result shows that by incorporating these factors our model shows a higher degree of robustness than the net present value method.
According to the results of sensitivity analyses, we further find that parameters of initial expected cost (K), initial expected cash flow (C),uncertainty in the cash flow (φ), the probability of new entrants (λ), the effect of cash flow of new entrants (ω), the draft (α)（economic growth rate）, patent term (T) are critical to the valuation. These key parameters are highly relevant to the valuation in biopharmaceutical industry. In short, our research indicates that in addition to financial parameters effective evaluation models shall take strategic interaction and industry uncertainty into their considerations.
Subjects
實質選擇權
生技製藥產業
最小平方蒙地卡羅模擬法
Real Options
biotech pharmaceutical industry
Least Squares Monte Carlo Simulation (LSM)
SDGs
Type
thesis