標題: Applying jump-diffusion processes to liquidate and convert venture capital
作者: Lin, Tyrone T.
Ko, Chuan-Chuan
Chang, Chia-Wen
經營管理研究所
Institute of Business and Management
關鍵字: Venture capital;Jump-diffusion process;Discounted factor;Liquidation;Convertibility
公開日期: 1-Aug-2010
摘要: This study attempts to apply real options and expand the model designed by Lin and Huang [Lin, T.T., Huang, Y.T.: J. Technol. Manage. 8(3), 59-78 (2003)], which helps venture capital (VC) companies to optimize project exit decisions. The expected discounted factor and a jump-diffusion process combine to assess the value of a start-up company, and determine the threshold of the exit timing of liquidation or convertibility for establishing the optimal disinvestment evaluation model for VC companies. When the project value is below V(L)*, the VC company carries out liquidation, but when the project value exceeds V(C)*, the VC company performs convertibility. The project value is ranging between (V(L)*, V(C)*), and the best choice is holding the decision and waiting to carry out the rights of liquidation and convertibility next time. Besides, this work attempts to identify the expected discounted time in terms of the investment time for VC companies.
URI: http://dx.doi.org/10.1007/s11135-007-9081-7
http://hdl.handle.net/11536/149990
ISSN: 0033-5177
DOI: 10.1007/s11135-007-9081-7
期刊: QUALITY & QUANTITY
Volume: 44
起始頁: 817
結束頁: 832
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