Financing Innovation Under Ambiguity
构建了一个实物期权模型，研究企业家在模糊性下对创新项目的最优投资与融资决策，发现债务能加速投资且这一效应在模糊性更强时更显著，解释了为何债务而非股权促进创新。
Abstract We develop a real options model in which an entrepreneur facing ambiguity makes optimal investment and financing decisions for an innovation project. We introduce jumps in innovation returns and model investors’ aversion to ambiguity in both diffusion and jump risks. Debt accelerates investment by lowering the threshold and shortening expected waiting time, thereby increasing project value. This effect strengthens under greater ambiguity, offering a novel rationale for why debt—not equity—fosters innovation. Our results provide a coherent explanation for recent empirical findings on debt’s role in innovation and contribute to the broader literature on investment under uncertainty.