多層序列複合買權之評價模型的案例分析

Abstract

都市發展過程中，交通問題一直是棘手的問題，而自從史上第一條倫敦地鐵建設之後，大眾運輸成為解決都市交通問題的一帖良藥，不過捷運建設需要整體規劃以及金額太過龐大，所以捷運運輸系統通常以分期開發居多，隨著人口的遷移、產業的興替、以及國家經濟建設等原因，每一期開發的適切性都需要謹慎評估。興建評估的考慮層面有很多種，例如交通、環境、都市發展、國防等，不過最基本還是財務上的可行性評估最為重要，以往都使用折現現金流量法，此方法簡單實用，但是面對現代經濟日益複雜的情形已經不足以處理。本文應用實質選擇權理論，使用先賢推導出公式，藉以計算出每一期的選擇權價值，而得到計畫總價值，裡面的關鍵在於取得每一期的年度興建成本、營運成本、營運收入，把興建成本以及營運成本視為履約價格，而把營運收入視為期初資產價值，輔以各種經濟指標，帶入公式藉此計算出各期買權價值，而加總之後可以得到整體專案價值。在實務上擁有興建下一期或是放棄繼續興建的權利價值經常被忽略，僅僅使用折現法去計算標案價值無法計算到權利價值，意味著總體價值可能有被低估的狀況，另外實質選擇權使經濟上的波動度也考慮進來，也就是所謂的風險，讓整體考慮因素更加完善，而捷運的開發確實可以使用實質選擇權進行評估是本文重點核心。

MRT transportation usually build in n-fold sequence. Every development have to evaluate because the change of industry, expanding human being, and national policy. They are a lot of dimensions and we need to consider. However, the most important thing is financial can support the project or not. As before, we use Discounted Cash Flow (DCF) to calculate the total price. But, the modern society improve quickly and the economy become more complicated. Only evaluating price with DCF is not enough so my thesis choose real option theory to find multi-phase call option price and get the total price. The key point is find operation cost, income, and construction cost in every phase. Construction cost and operation cost is exercise price and income is value at basic period of value of assets. Then, economic indexes such like CPI、Risk Free Rate are essential. At last, using all above numbers substitute into the formula. The answer is accumulation of every phase call option price. Finally, we can get real value of this project.