中文摘要：

考虑到新药研发周期长和高度的不确定性的特点,在实物期权理论的基础上建立了多阶段复合期权的评价模型,针对二阶段定价模型的不足,提出了各阶段波动率不同的三阶段定价模型,并得到其封闭解。最后用改进的三阶段变波动率复合期权模型来评估一个新药研发项目的价值,计算结果表明模型具有较好的实用性。

英文摘要：

Considering the characteristics of long period and high uncertainty of new drug research and development, we establish a multi-stage compound option evaluation model based on real option theory to improve the shortcomings of the pricing model in the first and second stages. Besides, we propose three-stage pricing model with different volatilities in each stage and gain the closed-form solution. Finally, we use the improved three-stage compound option model to evaluate the value of a new drug research and development project. The results show that the model has excellent practicability.