價格不確定性下的投資計劃管理：選擇權評價理論的應用

Abstract

當專案面對產出價格不確定性和法策時間彈性的資本預算時，使用傳統淨現值分析法忽視了投資機會的選擇權特性，評價專案的困難是由於預期的現金流量、風險調整折現率與所採取的投資策略的交互影響。根據以上所述之問題，本研究探討具有選擇權特性的投資計劃管理，擴展財務選擇權評價理論，應用在實質資產請求權的評價的發展。 由於價格的波動為不確定性的主要來源，茲以產出價格的波動假設，分為下列兩種討論的範圍： (1)產出價格呈現二項過程 (binomial process)，求算彈性產能規劃的變化。 (2)設產出價格呈現幾何布朗寧運動 (geometric Brownian motion)，以決策時間點為區分的投資彈性，求算各種隱含選擇權觀念的投資決策模式所對應的投資計劃價位（利潤）、調整的損益平衡價格。

An important class of capital budgeting problem is the evaluation of investment projects characterized by both output price uncertainty and flexibility to make accept/reject decision at a later time rather than immediately. The traditional net present value ignores the option properties of the investment opportunity. Difficulties are caused by simultaneous interrelations between the expected cash flow, the risk-adjusted discouted rate, and the optimal strategy. This research therefore falls within investment management with option-like characteristics, and extends financial option theory by developing an appraoch to valuing a claim on a real assest. The fundamental source of uncertainty is the output price being generated by a stochastic process. First, assume that the price follows a binomial multiplicative random walk, evaluating the capacity planing of production. Next, let the dynamics of the price is described by a geometric Brownain motion, evaluating option-like investment decision models and computing adjusted break-even prices.