系统管理学报

系统管理学报 ›› 2015, Vol. 24 ›› Issue (3): 355-364.DOI: F 270

• 金融工程 • 上一篇    下一篇

高新技术企业发展中的专利权价值问题——基于跳扩散实物期权定价的建模与模拟

葛翔宇a,b，赵 翼b,*，周艳丽c，李 庆b   

  1. 中南财经政法大学 a.知识产权研究中心；b.统计与数学学院；c.金融学院，武汉 430073;*.安永(中国)企业咨询有限公司, 上海 200120
  • 收稿日期:2013-08-06 修回日期:2013-12-30
  • 通讯作者:
  • 作者简介:葛翔宇（1958-），男，教授，博士生导师，研究方向为数量经济学、金融数学。 E-mail：xiangyu_ge@163.com
  • 基金资助:

    国家社会科学基金资助项目(10BJY104)

Value of Patents in the Development of High Technology Firms: Modelling and Simulation with Real Option Pricing driven by the Jump-Diffusion Process

GE Xiang-yua,b，ZHAO Yib,*，ZHOU Yan-lic，LI Qingb   

  1. a.Center for Studies of Intellectual Property Righs, b. School of Statistics and Mathematics, c. School of Finance，Zhongana University of Economics and Law，Wuhan 430073，China;*. Ernst & Young Global Limited, Shanghai 200120, China
  • Received:2013-08-06 Revised:2013-12-30

摘要： 在跳扩散期权定价模型和在考虑市场微观结构及企业柔性管理决策的基础上，建立了垄断市场、寡头竞争市场和完全竞争市场等3种典型市场竞争结构中的专利权定价模型，分析了在光接入系统行业市场之寡头竞争情况下的企业专利权价值。根据专利权授权的先后次序，将企业划分为领导者和追随者两类，探讨了两者的决策模式；进一步，根据企业自身的市场地位，将领导者划分为成长期企业和成熟期企业两类，根据不同的决策结构分别建立了基于跳扩散过程的专利权实物期权定价模型，并以光接入系统行业为例给出了具体的数值模拟结果。

关键词: 专利权价值, 柔性管理决策, 实物期权, 跳扩散模型

Abstract: Based on jump-diffusion option pricing model, and considering the micro-structure of market and the flexible management of the firms, we establish the option pricing model for patents in three typical markets: the monopoly market, the monopolistic competition market, and the perfect competition market, and analyze the value of patents in the monopolistic competition market of optics connection system. According to the order of the patent authorization and dividing the firms into the Leader and the Follower, we discuss their decision-making modes; and differentiating the Leader into the Growing firm and the Mature firm by the firms’ market positions. We then establish the real option pricing models of patents driven by jump-diffusion process with different decision-making structures. Finally, we provide the simulation values of patents using optics connection system industry as an example.

Key words: patent value, flexible decision-making, real option, jump-diffusion model