Incorporation of technical risk in compound real options has been considered in Cassimon et al. (2011) concerning the valuation of multi-stage pharmaceutical R&D. There, the technical success probabilities at each development stage were assumed to be generated independently of each other. This assumption can be unrealistic in many applied problems, pharmaceutical R&D included. We present a valuation procedure dealing with dependent success probabilities and random development stage times. This greater flexibility allows a better description of the sequence of decision stages and results, which in turn, impact the value of the considered project. The theoretical results are illustrated through a numerical example that shows the implementation of the model to a pharmaceutical R&D problem.

Cassimon 等人已经考虑将技术风险纳入复合实物期权。(2011) 关于多阶段药物研发的估值。在那里，假设每个开发阶段的技术成功概率是相互独立生成的。这种假设在许多应用问题中可能是不切实际的，包括制药研发。我们提出了一个处理相关成功概率和随机开发阶段时间的评估程序。这种更大的灵活性可以更好地描述决策阶段和结果的顺序，进而影响所考虑项目的价值。理论结果通过一个数值例子来说明，该例子显示了该模型在制药研发问题上的实施。