Major: Finance and Mathematics
Faculty Mentor: Dr. Joseph Shomberg, Mathematics
The Black-Scholes model was developed by Fisher Black and Myron Scholes in the 1970s to price stock options. Since then the model has been suited to price so-called intangible assets such as trademarks and patents. In this paper, we investigate the related Black-Scholes-Merton model and the relevant characteristics of patents in order to associate patents as real options. After describing patents as options, we apply the Black-Scholes-Merton model to the valuation of the intangible assets. Special attention is given to modeling volatility and the cost of delay in order to obtain the best patent price and the optimal time to commercialize the patent. Finally, we apply our patent price model to study the case of an upcoming Apple product.
4-22-2020 12:00 AM