Ex-ante economic assessment in incremental R&D projects: technical and development time uncertainties addressed by the real options theory

Pesquisa Operacional

Luis Alberto Melchiades Leite¹  José Paulo Teixeira¹  Carlos Patrício Samanez¹ 

[1] ,Pontifícia Universidade Católica do Rio de Janeiro Department of Industrial Engineering Rio de Janeiro RJ ,Brazil

关键词: decision under uncertainty;    real options in R & D;    economic evaluation of R & D projects;   

DOI  :  10.1590/S0101-74382012005000025

来源: SciELO

【 摘 要 】

This paper analyzes changes in the assessment of an incremental R&D project by an industrial firm with the progressive consideration of the endogenous treatment of its main sources of uncertainty: technical performance and development time. We found that the project, which was unfeasible under a deterministic assessment by Net Present Value (NPV) without flexibility, became feasible after the treatment of the technical uncertainty by a real options model (NPV with flexibility). Moreover, the project gained approximately 51 percent more value in flexibility when a treatment of the development time uncertainty was added to the model. In terms of additional flexibility per unit cost of the project, the gain is approximately 44 percent. This result demonstrates the importance of addressing the combination of these sources of uncertainty in R&D projects, especially those that are incremental, which is a difficult category to analyze in terms of quantitative benefits.

【 授权许可】

CC BY   
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