Graduation Year
2026
Date of Submission
12-2025
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Nishant Dass
Reader 2
Yong Kim
Terms of Use & License Information
Rights Information
2025 Luke H Jacobson
Abstract
This study uses a Real Options analysis model to measure the implied volatility of early-stage startup firms in the United States since 2005. This model is used to examine the effect of Venture Capital firms’ investments in the early stages of startup life, along with the effects of startup-specific characteristics on implied volatility. While previous research has created a foundation for Real Options theory in Venture Capital investing, there have only been case studies on applying Real Options analysis to startup firms. Existing research has also provided evidence that Venture Capital firms “de-risk” startups when they invest in early stages by decreasing uncertainty. To fill this gap I use the model of implied volatility to measure individual startup implied volatility using valuation data in each firms’ early stages and the time between those valuations were reported. The findings reveal that there is no relationship between the effect of a top Venture Capital firm’s investment in an early-stage and a startup’s volatility over time. This study also evaluates the effect of leadership experience, location, industry, and firm headcount on early-stage startup implied volatility.
Recommended Citation
Jacobson, Luke H., "Estimating Risk in Early-Stage Venture Capital: A Real Options Approach" (2026). CMC Senior Theses. 4365.
https://scholarship.claremont.edu/cmc_theses/4365
