應用選擇權定價模式評估B.O.T.投資計劃

Abstract

投資計劃由於具有不確定性,多變性及不可取消性的因素,使得投資 計劃的現金流量與當初所預估的有所出入.在傳統上,一般經理人都是使用 淨現值法(net present value,NPV)來處理投資的問題,然而NPV法則卻無 法因應不可知的未來市場狀況而改變決策,亦即沒有考慮到管理上的彈性 問題.當新的市場訊息的出現並且市場不確定的因素均已解決之下,管理者 可以基於彈性的考量,選擇在最佳的投資狀況或損失最少的狀況下,改變其 操作策略. 實質投資選擇權的應用,在說明管理上所具有的彈性及策略 上的思考方面,提供一個好的方法.本文的目的是在說明實質投資選擇權的 一些特性以及評估B.O.T.投資計劃的真正價值.並且利用二項式評價模式 來評估投資計劃的價值.結果顯示,NPV法則往往低估了投資機會的價值.而 且當使用選擇權定價模式來評估投資計劃時,在投資計劃價值的波動性很 大時,投資計劃的選擇權價值就更大. Characterized by uncertainty,change and irreversible,the realization of cashflows will probably differ from expected for project investment.Traditionally,managers utilize the net present value (NPV) analysis to resolve investmentproblems.It has been shown that NPV rule is inadequate when managerial flexibilityto adapt and revise later decisions in response unexpected market situation cannot be captured.As new information arrives and uncertainity about market condition and future cash flows is gradually resolved,management may have valuable flexibility to alter its operating strategy to capitalize on favorable futureopportunities or mitigate losses. The Valuation of real option,by providing a means to accounts for managerialflexibility and strategic considerations,has reformd corporate investment decisions making.The purpose of this research is to develop a better understanding of realoption in its essential features and apply it to estimate the true value of theB.O.T.(Build,Operate,Transfer) model project. Binomial option pricing model isused to evaluate the value of investment projects.The result has shown that NPVrule usually undervalued investment opportunities.It is also concluded that the higher of volatility of the project,the valuable of the real options.