企业投资决策的实物期权方法及应用(1)

五邑大学硕士学位论文企业投资决策的实物期权方法及应用姓名：张成戍申请学位级别：硕士专业：管理科学与工程指导教师：黄长征20060401I1B-S2IIIIIAbstractNowadays,withtherapidtechnologyinnovationsandseverecompetitions,businessenterprisesarefacingmoreandmoreuncertainties.Consequently,investmentprojectshavetobearmorerisk.Itisbecomingahotsubjecttocontrolriskandtoevaluatetheprojectscorrectly.Traditionalevaluationmethodsconcerntheriskandprofitinthestaticperspectives,ignoringthemanagementfexibilitiesinthewholeprocess,suchasabandoning,switching,andexpandinginvestment,inthiswaytheycan'tgetacorrectresult.Thispaperintroducesoptionsintotheinvestmentareas,takingtheflexibilitiesintheinvestmentprocessasoptions,andformstheconceptofrealoptions.Moreover,Viewinginvestmentsbymeansofoptions,canbetterdealwiththerelationofuncertainties,risks,andprofitsofinvestmentprojects.Therealoptionisanimportantinnovationinthetheoryofinvestmentdecision,becauseitcanmakesquantitativeanalyseswithregardingallkindsofinvestmentopportunitiesandflexibilitiesasoption.Thispaperoutspreadsinboththeoryaspectandapplicationaspect.Basedonmyreferencetolargenumberofdomesticandforeignliteraturesandcombinedwiththepracticalproblemsofinvestment,thispapermakesthoroughanalysisandstudyabouttherealoptiontheoreticmethodanditsapplicationprocedure.Thisdissertationmainlyincludes:Fromtheoryaspect,itfirstlyanalyzesthetraditionaldecisionmethodsandsummarizingtheiradvantagesandshortcomings,andmeanwhilepointsoutthetheoreticalandtechnicaladvantagesofrealoptiononanalyzingtheinvestmentopportunitiesandevaluatingthevalueofmanagementflexibility;Secondly,itintroducestherelevanttheoriesandcoreideasofoptionsintheround,putsoutthepricingmodeloffinancialoptionsfromtheno-arbitrageopportunitiestheoryandrisk-neutralpricing,andthenillustratesdynamictrackingofoptionspricing;Finally,systematicallyintroducingthebasicmeaning,innatecharacters,andtypesofrealoptions.Throughthecontraststudywithfinancialoptions,wewilldeducethepricingmodelofrealoption,andsetforththeinsidelogicthatfinancialoptionsexpandintorealoptionsandthecontactthatthetraditionalinvestmentdecision-makingstransitintotherealoptionmethod.Fromtheapplicationaspect,synthesizingthecurrentresearchachievementsaboutrealoptions,wewillbringforwardarealoptionanalysisandapplicationframe.Withthisanalysisframe,wecandiscussinvestmentprojectsbyrealoptionmethodthatcouldcompletelyscoopoutthevalueoftheinvestmentproject,andalsopresenttheoperatingflexibilitiesandthestrategicadaptabilitiesduringtheimplementofinvestmentprojects.Afterthis,wesetupthemodeloftheoptionvalueintheinvestmentofnewproduct.Ithasthefollowingvirtues:(1)ItavoidsthelimitsoftheassumptionofthefixedtimingoftheinvestmentinthemodelofB-Soptionpricing,thereforeitismoreconsistentwiththereality;(2)Theflexibilityvalueintheinvestmentofnewproductinvolvesthepossibilityoftheinfluenceofinterferenceofothercompetitorsininvestment,thustheanalysisismorereasonable.Thiswillprovidetheinvestmentmanageraneffectivetoolandtechniqueofentirelyevaluatingthevalueofprojects.Andithassignificanttheoreticalmeaningsandactualapplicationvalueforthebusinessenterprisetocorrectlyimplementtheirinvestmentprojects.KeyWords:RealOption,FinancialOption,NetPresentValueMethod,TheValueofInvestmentFlexibilities111.1231.22070(NPV,NetPresentValue)(RealOption)Robert4MertonRobertPindyckInvestmentUnderUncertaintyStewartMyers1977realoption1.2.1Trigeorgis[1]1995(optiontoinitiateorexpand)(optiontoabandonorcontract)(optiontowait,slowdown,orspeedupdevelopment)DixitPindyck[2]1994S.P.MasonR.C.Merton[3]1985CoxRossRubinstein[4]1979,Ito(),BlackScholeMcdonaldSiegelWilliam,BlackSchole(1973)[5]B-SLuehrman[6]19985InvestmentOpportunitiesasRealOptions:GettingStartedOntheNumbersBlack-ScholesLuehrmanDentskevichSalkin[7](1991)ValuationofRealProjectsUsingOptionPricingTechniquesNPVAmramKulatilaka[8](1999)DisciplinedDecisions:AligningStrategywiththeFinancialMarketsMcdonald&Siegel[9]1986William[10]2002,,1.2.(NPV)(IRR)1998[11][12]1[13]2002[14]1998[15]20022Black-Scholes6MonteCarol[16]2001[17]2002[18]2001[19]2003R&DR&DR&DR&DR&D[20]2002Black-ScholesMonteCarrol[21]20013(R&D)[22](2001)[23](2002)[24](1999)[25](2002)[26](2002)[27](2004)[28](2003)71.32090-,,,,,,,,,,,,,,,,,,B-S8B-S,,,,1.4B-S92???2.12.1.1()[29]102.1.2130()()22-1112-132.1.31231242.1.41232.22.2.1[31]2.2.1.11130()ppTTtttttoNBBCk===−=∑∑2-1pTktBtCtttNBtbTbTpT2()R=NB/K2-2RNBKRb,RRb2.2.1.214DiscountedCashFlow,DCF[32]1(NPV)NPV=0000(1)(1)ttnnttttCICOii==−++∑∑2-3NPVttCIttCOt0iNPV02.2.22(IRR)(IRR)00(1)nttttCICONPVIRR=−==+∑2-4IRR2-3IRR0i(IRR)IRR15IRR300()0(1)pTttttCICOi=−=+∑2-5pT2-3bTpTbT4NAV000()(1)(/,,)nttttNAVCICOiAPin−==−+∑(2-6)NAV0(/,,)APin()2-3NAV0NAV0162.2.2NPVNPVEllwoodKlammer19721001959NPV19%197057%Schall,SundemGeijsbeek197842486%NPV33NPV[34]1[35]2173NPV[36]4NPV[37][38][39]18NPVNPVNPVNPV5[40](donowornever)19[41]2.3[42][43]202.4(DiscountedCashFlow,DCF)[44][45](NPV)[46]21(1)()2223(RealOption)[47]()3.1(options)()()[48]()()(calloptions)(putoptions)231973419973.1.11()23(IntrinsicValue)()24()(TimeValue)()45SX3.1.2[49][50]l25()()2()()(V=max(S-X0),VXS)33.2()3.2.1266StXrtσD3.2.1.11StSt