Valuation of R&D projects of new energy vehicles based on generalized mixed sub-fractional Brownian motion under fuzzy environment

Abstract

The industry and investors are closely monitoring the valuation of research and development (R&D) projects related to new energy vehicles (NEVs) as their technology advances rapidly. However, standard techniques of valuation often fail to describe the full value of R&D initiatives in an uncertain market environment, due to the significant technical hazards and uncertain results associated with these projects. To address this issue, this study creatively introduces a generalized mixed sub-fractional Brownian motion (GMSFBM) based valuation method for compound real options in the NEV R&D projects. In order to more accurately characterize the technical and financial risks at every stage of the R&D process, this paper combines stochastic processes with compound real option theory. Significantly, to derive the assessment model for NEV R&D projects, a fuzzy partial differential equation (FPDE) of the five-fold compound real option model is constructed using Itô's lemma. Moreover, asymmetric trapezoidal fuzzy parameters are also introduced by the valuation model to characterize the uncertainty of the NEV R&D projects. Finally, numerical experiments are conducted to validate the effectiveness and practicality of the GMSFBM model in the appraisement of the NEV R&D projects, providing new quantitative analysis tools and methods for project decision-making.