Option framework for the valuation of bio-pharmaceutical companies:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2001
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 149 S. graph. Darst. |
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MARC
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Record in the Search Index
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| adam_text | Ill
List of contents page
List of tables VI
List of figures VII
1 Introduction 1
2 Guide to the real options literature 5
2.1 Capital budgeting 7
2.2 Competition 12
2.3 Decisions in an international context 13
2.4 M A and corporate governance 14
2.5 Manufacturing 15
2.6 Strategy 16
2.7 Natural resources 17
2.8 R D 18
2.9 Real estate 20
2.10 Venture capital and company valuation 20
3 Pharmaceutical R D 24
3.1 Pre clinical trials 28
3.2 Clinical trials 28
3.3 Regulatory affairs 30
3.4 Development times 32
3.5 Review process 33
3.6 Phase IV studies 35
IV
3.7 Success rates in pharmaceutical R D 36
3.8 Return on pharmaceutical R D 38
3.9 R D risk 40
4 Rationale 42
4.1 Intuitive rationale 42
4.2 Formal rationale 44
5 Sample firms 49
6 Simple option variant 51
6.1 Time to maturity 52
6.2 Exercise price 53
6.3 Risk free interest rate 55
6.4 Implicit underlying 55
6.5 Volatility 59
6.6 Option delta 61
7 Case study single project 63
7.1 Sample company 63
7.2 Alzheimer s Disorder 64
7.3 Scientific research in neurotrophic factors 65
7.4 Lead compound 67
7.5 Input data 68
7.6 Empirical findings 69
7.7 Compound option extension 75
V
8 Basket options 77
8.1 Price dynamics of basket options 77
8.2 Role of stable distributions in the framework 87
8.3 Algorithm 95
8.4 Interpretation 101
9 Innovation indicators 103
9.1 Resource indicators 105
9.2 Return indicators 105
9.3 Progress indicators 109
9.4 Empirical evidence on the index of stability as a return
indicator Ill
10 Conclusions 120
11 Glossary 124
12 References 127
VI
List of tables page
Table 5.1: Sample firms active in neurological R D 50
Table 7.1: Characteristics of option I and option II 69
Table 7.2: Mean absolute deviations of computed (real) option price
relative to observed share price for altered input data
during the duration of options I and II 71
Table 7.3: Duration of options I and II divided into three periods 74
Table 7.5: Statistics characterising the error term for a simple share
price forecast 74
Table 8.1 Dividing the group of stable distributions into four
categories 88
Table 9.1: Innovation indicators in the bio pharmaceutical sector and
their typology 104
VII
List of figures page
Figure 2.1: Number of publications on real options by year 5
Figure 2.2: Share of publications on real options by field during 1977
and 2000 6
Figure 2.3: Share of publications on real options by type during 1977
and 2000 7
Figure 3.1: Modern drug discovery and development of bio
pharmaceuticals under the biotechnological paradigm 25
Figure 3.2: Sequential innovation process in pharmaceutical R D 27
Figure 6.1: Factors influencing the project value 56
Figure 7.1: Implied underlying of option 1 69
Figure 7.2: Implied underlying of option II 70
Figure 7.3: Actual share price (solid line) versus share price calculated
using Black Scholes analogy for option I (dashed line) 73
Figure 7.4: Actual share price (solid line) versus share price calculated
using Black Scholes analogy for option II (dashed line) 73
Figure 7.6: Comparison between the value of the underlying option V
in the compound option model and the underlying
project value S derived by inverting the Black Scholes
formula 76
Figure 8.1: Stable densities for various combinations of stable
parameter values (standard density indicates a stable
density with o = 1 and n = 0) 91
Figure 9.1: Number of new molecular entities first launched world¬
wide during 1991 and 2000 (CMR 2001) 109
Figure 9.2: Index of stability and scale parameter for the 33 options on
a portfolio of neurological projects 112
Figure 9.3: State price density function of the terminal asset values of
the first basket option of Neurocrine (maturity
12/23/1999) using stable fitting compared to the
standard normal density 113
VIII
Figure 9.4: Risk neutral density function of the terminal asset values
of the second basket option of Regeneron (maturity
03/20/2001) using stable fitting compared to the
standard normal density 114
Figure 9.5: Comparison of the tail behaviour of the stable density
function fitted to the sample data of the first basket
option of Neurocrine (maturity 12/23/1999) and the
standard normal density function 115
Figure 9.6: Comparison of the tail behaviour of the stable density
function fitted to the sample data of the second basket
option of Regeneron (maturity 03/20/2001) and the
standard normal density function 116
Figure 9.7: Index of stability over time 117
Figure 9.8: Stability index a plotted against market capitalisation at
maturity of the corresponding option 118
Figure 9.9: Stable parameters of Neotherapeutics baskets versus the
remaining baskets of the sample in an a/a diagram 119
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| indexdate | 2024-07-09T19:07:54Z |
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| language | English |
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| physical | VIII, 149 S. graph. Darst. |
| publishDate | 2001 |
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| spelling | Wörner, Stefan Verfasser aut Option framework for the valuation of bio-pharmaceutical companies von Stefan Wörner 2001 VIII, 149 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Karlsruhe, Univ., Diss., 2001 Bewertung (DE-588)4006340-9 gnd rswk-swf Pharmazeutische Industrie (DE-588)4045696-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Pharmazeutische Industrie (DE-588)4045696-1 s Bewertung (DE-588)4006340-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010042313&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wörner, Stefan Option framework for the valuation of bio-pharmaceutical companies Bewertung (DE-588)4006340-9 gnd Pharmazeutische Industrie (DE-588)4045696-1 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4045696-1 (DE-588)4113937-9 |
| title | Option framework for the valuation of bio-pharmaceutical companies |
| title_auth | Option framework for the valuation of bio-pharmaceutical companies |
| title_exact_search | Option framework for the valuation of bio-pharmaceutical companies |
| title_full | Option framework for the valuation of bio-pharmaceutical companies von Stefan Wörner |
| title_fullStr | Option framework for the valuation of bio-pharmaceutical companies von Stefan Wörner |
| title_full_unstemmed | Option framework for the valuation of bio-pharmaceutical companies von Stefan Wörner |
| title_short | Option framework for the valuation of bio-pharmaceutical companies |
| title_sort | option framework for the valuation of bio pharmaceutical companies |
| topic | Bewertung (DE-588)4006340-9 gnd Pharmazeutische Industrie (DE-588)4045696-1 gnd |
| topic_facet | Bewertung Pharmazeutische Industrie Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010042313&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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