IDEAS home Printed from https://ideas.repec.org/a/scn/financ/y2016i6p120-132.html
   My bibliography  Save this article

Нечетко-Множественная Оценка Параметров Эффективности Инновационного Проекта // Fuzzy Set Assessment Of Innovative Project Effectiveness Parameters

Author

Listed:
  • A. Baranov O.

    (Novosibirsk State National Research University)

  • E. Musyko I.

    (Novosibirsk State Technical University)

  • V. Pavlov N.

    (Saint Petersburg State Polytechnic University)

  • А. Баранов О

    (Новосибирский национальный исследовательский государственный университет)

  • Е. Музыко И.

    (Новосибирский государственный технический университет)

  • В. Павлов Н.

    (Санкт-Петербургский политехнический университет Петра Великого)

Abstract

Investments made by venture capital funds are characterized by high uncertainty and risk, and quite often they have a step-by-step implementation scenario. In this regard, the traditional discounted cash flow method can be supplemented with other approaches that take into account the flexibility in decision-making, in particular, by assessing the effectiveness of an innovative project with methods that are used abroad but so far have not found wide application in Russia. One of these methods is the method of real options. The traditional analysis of the innovation project effectiveness can also be augmented by the study of the impact of the uncertainty of future cash flows generated by the project on the effectiveness indices using the method of fuzzy sets. The application of real options as well as fuzzy sets is, according to the authors, a way to improve the existing methods of assessing the cost-effectiveness of innovative projects. The paper is devoted to fuzzy-set assessment of the sustainability of financial flows generated by an innovative project and its effectiveness indices. Briefly described is a methodology for estimating the reliability and stability of the fuzzy metrics. The results of computing fuzzy set indices to assess the cost effectiveness of real innovative projects implemented in the territory of Russia and funded by venture capital funds are provided. A meaningful interpretation of the results obtained is given. The use of the fuzzy-set approach to the value assessment of a composite call option by the Geske-Hsu model giving additional opportunities is described. Для инвестиций, которые осуществляют венчурные фонды, характерны высокие неопределенность и риск, и они достаточно часто имеют поэтапную природу. В связи с этим традиционный метод дисконтированных денежных потоков может быть дополнен иными подходами, способными учесть гибкость в принятии решений, в частности посредством оценки эффективности инновационного проекта с помощью методов, используемых в мировой практике, но пока не нашедших в России широкого применения. Одним из таких методов является метод реальных опционов. Традиционный анализ эффективности инновационного проекта также может быть дополнен исследованием влияния на показатели эффективности неопределенности генерируемых проектом будущих финансовых потоков с помощью метода нечетких множеств. Применение метода реальных опционов, а также аппарата нечетких множеств является, по мнению авторов, направлением совершенствования существующих методов оценки эффективности инновационных проектов. Статья посвящена нечетко-множественной оценке устойчивости генерируемых инновационным проектом финансовых потоков и показателей его эффективности. Кратко описывается методика оценки надежности и устойчивости нечетких показателей. Представлены результаты расчетов нечетко-множественных показателей оценки экономической эффективности реального инновационного проекта, реализуемого на территории России и финансируемого за счет средств венчурного фонда. Дана содержательная интерпретация полученных результатов. Описывается применение нечетко-множественного подхода к оценке стоимости составного колл-опциона по модели Геске-Хсу, использование которого дает дополнительные возможности.

Suggested Citation

  • A. Baranov O. & E. Musyko I. & V. Pavlov N. & А. Баранов О & Е. Музыко И. & В. Павлов Н., 2016. "Нечетко-Множественная Оценка Параметров Эффективности Инновационного Проекта // Fuzzy Set Assessment Of Innovative Project Effectiveness Parameters," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(6), pages 120-132.
    • Handle: RePEc:scn:financ:y:2016:i:6:p:120-132
    as

    Download full text from publisher

    File URL: https://financetp.fa.ru/jour/article/viewFile/312/239.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    2. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    3. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
    4. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
    5. Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
    6. A. W. Rathgeber & J. Stadler & S. Stöckl, 2021. "The impact of the leverage effect on the implied volatility smile: evidence for the German option market," Review of Derivatives Research, Springer, vol. 24(2), pages 95-133, July.
    7. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, August.
    8. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, May.
    9. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
    10. Gukhal, C.R.Chandrasekhar Reddy, 2004. "The compound option approach to American options on jump-diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2055-2074, September.
    11. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
    12. Vorst, A. C. F., 1988. "Option Pricing And Stochastic Processes," Econometric Institute Archives 272366, Erasmus University Rotterdam.
    13. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    14. Yu-Lin Huang & Chai-Chi Pi, 2009. "Valuation of multi-stage BOT projects involving dedicated asset investments: a sequential compound option approach," Construction Management and Economics, Taylor & Francis Journals, vol. 27(7), pages 653-666.
    15. George Mckenzie & Simon Wolfe, 1995. "Limited liability and bank safety net procedures," The European Journal of Finance, Taylor & Francis Journals, vol. 1(3), pages 219-235.
    16. Gordon G. Sollars & Sorin Tuluca, 2012. "The Optimal Timing of Strategic Action – A Real Options Approach," Journal of Entrepreneurship, Management and Innovation, Fundacja Upowszechniająca Wiedzę i Naukę "Cognitione", vol. 8(2), pages 78-95.
    17. Giandomenico, Rossano, 2006. "Valuing an American Put Option," MPRA Paper 20082, University Library of Munich, Germany.
    18. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    19. Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
    20. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:financ:y:2016:i:6:p:120-132. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Алексей Скалабан (email available below). General contact details of provider: http://financetp.fa.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.