李存修Lee, Tsun-Siou臺灣大學:財務金融學研究所洪育凱Hung, Yu-KaiYu-KaiHung2010-05-112018-07-092010-05-112018-07-092009U0001-0207200912592400http://ntur.lib.ntu.edu.tw//handle/246246/182747生技製藥產業不同於傳統產業，其研發投入成本龐大且開發時程長，加上研發過程中的高失敗率，使獲利具高度不確定性；然而，經理人可藉由決策的調整適時放棄或出售投資計畫，提高計畫價值。傳統評價方法(如淨現值法)無法反應計畫過程中的決策彈性，有鑑於此，本論文採用複合實質選擇權評價概念(compound real option)，建立二元樹模型，將生技製藥階段性研發的特質、放棄及出售的選擇權納入考量，希望有助於未來生技製藥公司進行資本預算評估、計畫授權時的評價。Biopharmaceutical industry has been regarded as a highly risky business because of the characteristics such as high capital investment, long developing time, and low success rates. During the developing process, however, managers have the flexibility to adjust the investment project. For example, the R&D project can be abandoned or sold to other companies. The managerial flexibilities can contribute to the project value. Traditional valuation methods are unable to fully capture the value created by the biopharmaceutical R&D project because they ignore these opportunities. Therefore, we apply the compound real option concept and present the binomial lattice model with options to abandon and sell, so as to evaluate the R&D project value.口試委員會審定書 i謝 i要 iiibstract ivable of Contents ivables viigures vi. Introduction - 1 -I. Current Status of Biotechnology and Biopharmaceutical Industry - 3 -I.1 Overview of biotechnology industry - 3 -I.2 Biopharmaceutical industry - 6 -I.3 The new drug development process in the United States - 10 -II. Real Options Embedded in the New Drug Application - 12 -V. The Compound Option Model for Biopharmaceutical R&D - 16 -V.1 Risk neutral binomial lattice - 16 -V.2 Real option valuation-the basic case - 18 -V.3 R&D project with option to sell - 21 -. Application for a biopharmaceutical R&D project and Sensitivity Analysis - 24 -.1 The value of a small biopharmaceutical company R&D project with option to abandon - 24 -.2 The value of a small biopharmaceutical company R&D project with option to sell and abandon - 25 -.3 Sensitivity analysis - 26 -I. Conclusion - 28 -eferences - 30 -application/pdf1117933 bytesapplication/pdfen-US生技製藥複合實質選擇權二元樹biopharmaceuticalcompound real optionbinomial treethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182747/1/ntu-98-R96723001-1.pdf