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題名 企業投資之實質選擇權評價
The Real Option Valuation of Corporate Investments
作者 吳明政
Wu, Ming Cheng
貢獻者 顏錫銘
Yen, Simon H.
吳明政
Wu, Ming Cheng
關鍵詞 實質選擇權
跳躍模型
研發
管理彈性
企業投資
資本預算
real options
jump-diffusion processes
research and development
managerial flexibilities
corporate investments
capital budgeting
日期 2002
上傳時間 10-May-2016 18:56:45 (UTC+8)
摘要 　　建立適當的資本投資決策，對於企業未來的發展具有深遠的影響。如何能擬定出適合的資本預算計畫，以增加公司的成長機會與競爭能力，便是當前重要的課題。本論文以三個階段探討企業投資歷程中所具有的實質選擇權評價：包括對於計畫案擬定之初期，進行投資機會價值評估的實質成長選擇權。以及針對投資計畫開始進行時，管理者所擁有的各種管理彈性，如遞延、擴張、縮減與暫停投資的決策彈性，進行多重實質選擇權的價值評估。最後，針對未能順利成功的計畫案，管理者擁有將其永遠放棄，以收回投資成本殘值的實質放棄選擇權價值進行評估。
     　　對於第一階段的成長選擇權價值評估，本文已建立出同時考量標的資產與投資成本隨機變動，以及標的資產存在不連續跳躍特性下的選擇權評價封閉解，結果可用來評估計畫方案擬定初期的實質成長選擇權價值。若將評價模式中的參數進行限制，則本模型將會分別退化至Black and Scholes(1973), Merton(1976), Fischer(1978), Margrabe(1978), McDonald and Siegel(1985)等重要的選擇權評價文獻，可知本文已獲致較一般化的評價模型。
     　　在第二階段的多重實質選擇權價值評估，本文採用Trigeorgis(1991)所建立的對數轉換二項評價模式，再加入跳躍模型的考量，以符合科技產業所具有的創新、競爭特性，期較能合理評估其價值，也獲得了較一般化的評價模式。再者，本文以模擬方式對於管理者在投資計畫的進行過程中所擁有的遞延、擴張、縮減以及暫停投資等彈性決策價值進行評估，以彰顯出利用實質選擇權評價方法進行彈性決策價值評估的必要性。由數值分析的結果得到，當多個實質選擇權同時存在時，其間將產生不同程度的交互作用，因此並不能直接將個別價值予以加總來求算整體的實質選擇權價值。不過，每項管理彈性的加入對於整體價值的增加皆具有正向貢獻。
     　　對於第三階段的放棄選擇權價值評估，本文建立同時存在多項投資方案下的實質放棄選擇權評價模型，結果可用來評估研發計畫方案未能成功時的實質放棄選擇權價值。此外，本文進一步對於此評價模型進行數值分析，並將所得到的結果歸納如下：(1)方案間價值變動相關係數對於實質放棄選擇權價值的影響上，有相關係數越高時，實質放棄選擇權的價值就越高的現象。(2)殘值回收比率較高時，若採取較多的投資計畫方案，將可以獲致較高的實質放棄選擇權價值，此結果可作偽管理者在選擇備抵方案數目時的參考。(3)對於敏威性分析的探討，發現到當殘值增加、利率下降以及剩餘期間較長時，實質放棄選擇權的價值是增加的，此現象與賣權特性結果一致。
     　　因此，本文針對企業投資歷程中所具有的實質選擇權評價進行深入探討，分別建立選擇權評價模型，也獲致了較以往模型更一般化的評價結果。並於各評價模型建構完成後，輔以數值模擬與敏感性分析，以進一步說明本文所建構模型之一般性與合理性。最後，希望此結果有助於日後企業對於投資價值評估時之參考，並可彌補此類研究文獻的不足。
　　This dissertation presents three essays, each provides a general real option pricing model. In the first essay, we derive a generalized option pricing formula for the case of the underlying asset and exercise price both being driven by a mixture of continuous and jump diffusion processes. Our pricing model is a generalized version of Black and Scholes(1973), Merton(1976), Fischer(1978), Margrabe(1978), and McDonald-Siegel(l 985). And each of the historical model is shown to be a special case of ours. We then use the model developed in this article to evaluate real growth options where the underlying assets follow jump diffusion processes. The second essay develops a multi-option pricing model incorporating jump characteristics. The model we provide here can be used to value various types of flexibilities, including the option to defer, the option to shut down, the option to contract, and the option to expand. Based on our numerical results, we find that the model can deal with the interactions among these options. The third essay considers an abandonment option on the maximizing value of several investment projects. Here we develop a model to evaluate R&D projects that may not be accomplished. We show that both Black-Scholes`s model and Stuiz`s model are special cases of ours under certain restrictions on parameters. From the simulation results, we find a positive relation between the correlation of project value changes and the value of the real abandonment options. Furthermore, our simulation results show that the higher the percentage of recovering salvage value, the more number of investment projects should be carried out. The result we find can help managers to choose the better backup projects. Our sensitivity analysis shows that the value of the real abandonment options increase when the riskless interest rate decreases, and at the same time the salvage value and the time to maturity increase.
參考文獻 中文部分
     廖四郎，1998，"從BlaCk-Scholes模型分析論數理財務模型之發展"，亞太經濟管理評論，第2卷第1期，頁97-123。
     顏錫銘、吳明政，"存在跳躍過程與成本不確定下的選擇權評價方法"，2001年6月，台灣財務金融學術暨實務研討會論文集。
     顏錫銘、吳明政:"創業投資公司投資案價值的評估-採用多重實質選擇權評價方法"，科技管理學刊，2001年4月，第六卷第一期，頁105-132。
     顏錫銘、吳明政，。存在多項R&D投資計畫下的實質放棄選擇權評價方法"，2002年5月，台灣財務金融學術暨實務研討會論文集。
     英文部分
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     Childs, P. D., S. H. Ott, and A. J. Triantis, 1998, “Capital Budgeting for Interrelated Projects: A Real Options Approach,” Journal of Financial and Quantitative Analysis 33, 305-334.
     Childs, P. D. and A. J. Triantis, 1999, “Dynamic R&D Investment Policies,” Management Science 45, 1359-1377.
     Copeland, T., 2001, “The Real-Options Approach to Capital Allocation,” Strategic Finance, 33-37.
     Cox, J. C. and S. A. Ross, 1976, “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics 3, 145-166.
     Cox, J. C., S. A. Ross, and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7, 229-263.
     Curnow, R. N. and C. W. Dunnett, 1961, “The Numerical Evaluation of Certain Multivariate Normal Integrals,” Annals of Mathematical Statistics 33, 571-579.
     Dixit, A. K. and R. S. Pindyck, 1994, Investment under Uncertainty. Princeton University Press.
     Doukas, J. and L. Switzer, 1992, “The Stock Market``s Valuation of R&D Spending and Market Concentration,” Journal of Economics and Business 44, 95-114.
     Faulkner, T. W., 2000, “Applying ‘Options Thinking’ to R&D Valuation,” Research Technology Management 43, 50-56.
     Fischer, S., 1978, “Call Option Pricing When the Exercise Price is Uncertain, and the Valuation of Index Bonds,” Journal of Finance 33, 169-176.
     Grenadier, S. R.,1995, “Valuing Lease Contracts：A Real-Options Approach”, Journal of Financial Economics 38, 297-331.
     Grenadier, S. R. and A. M. Weiss, 1997, “Investment in Technological Innovations: An Option Pricing Approach,” Journal of Financial Economics 44, 397-416.
     Hall, B. H. and J. Mairesse, 1995, “Exploring the relationship between R&D and productivity in French manufacturing firms,” Journal of Econometrics 65, 263-293.
     Harrison, J. M. and D. M. Kreps, 1979, “Martingales and Arbitrage in Multiperiod Securities Markets,” Journal of Economic Theory 20, 381-408.
     Hilliard, J. and J. Reis, 1998, “Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot,” Journal of Financial and Quantitative Analysis 33, 61-86.
     Howell, S. D. and A. J. Jagle, 1997, “Laboratory Evidence on How Managers Intuitively Value Real Growth Options,” Journal of Business Finance and Accounting 24, 915-935.
     Ingersoll, J. and S. Ross, 1992, “Waiting to Invest: Investment and Uncertainty.” Journal of Business 65, 1-29.
     Jagle, A. J., 1999, “Shareholder Value, Real Options, and Innovation in Technology-Intensive Companies,” R&D Management 29, 271-287.
     Johnson, H. E., 1987, “Options on the Maximum or Several Assets,” Journal of Financial and Quantitative Analysis 22, 277-284.
     Jondean, E. and M. Rockinger, 2000, “Reading the Smile: the Message Conveyed by Methods Which Infer Risk Neutral Densities,” Journal of International Money and Finance 19, 885-915.
     Jorion, P., 1988, “On Jump Processes in the Foreign Exchange and Stock Markets,” The Review of Financial Studies 4, 427-445.
     Kester, W. C., 1984, “Today’s Options for Tomorrow’s Growth,” Harvard Business Review 62, 153-160.
     Kim, M. J., Y. H. Oh, and R. Brooks, 1994, “Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing,” Journal of Financial and Quantitative Analysis 29, 609-631.
     Kremer, J. W. and R. Roenfeldt, 1993, “Warrant Pricing: Jump-Diffusion v.s Black-Scholes,” Journal of Financial and Quantitative Analysis 28, 255-272.
     Lev, B., and T. Sougiannis, 1996, “The Capitalization, Amortization, and Value-Relevance of R&D,” Journal of Accounting & Economics 21, 107-138.
     Margrabe, W., 1978, “The Value of an Option to Exchange One Asset for Another,” Journal of Finance 33, 177-186.
     McDonald, R. and D. Siegel, 1985, “Investment and the Valuation of Firms When There Is an Option to Shut Down,” International Economic Review 26, 331-349.
     McDonald, R. and D. Sigel, 1986, “The Value of Waiting to Invest,” Quarterly Journal of Economics 101, 707-728.
     McGrath, R. G. and I. C. MacMillan, 2000, “Assessing technology projects using real options reasoning,” Research Technology Management 43, 35-49.
     Merton, R. C., 1976, “Option Pricing When Underlying Stock Returns are Discontinuous,” Journal of Financial Economics 3, 125-144.
     Morbey, G. K., 1989, “R&D Expenditures and Profit Growth,” Research Technology Management May/Jun, 20-23.
     Morbey, G. K., and R. M. Reithner, 1990, “How R&D Affects Sales Growth, Productivity and Profitability,” Research Technology Management May/Jun, 11-14.
     Myers, S. C., 1977, “Determinants of Corporate Borrowing,” Journal of Financial Economics 5, 147-176.
     Myers, S. C., 1987, “Finance Theory and Financial Strategy,” Midland Corporate Finance Journal 5, 6-13.
     Myers, S. C. and S. Majd, 1990, “Abandonment Value and Project Life,” Advances in Futures and Options Research 4, 1-21.
     Ottoo, R. E., 1998, “Valuation of Internal Growth Opportunities: The Case of a Biotechnology Company,” Quarterly Review of Economics and Finance 38, 615-633.
     Panayi, S. and L. Trigeorgis, 1998, “Multi-stage Real Options: The Case of Information Technology Infrastructure and International Bank Expansion,” The Quarterly Review of Economics and Finance 38, 675-692.
     Pennings, E. and O. Lint, 1997, “The Option Value of Advanced R&D,” European Journal of Operational Research 103, 83-94.
     Perlitz, M., T. Peske, and R. Schrank, 1999, “Real Options Valuation: the New Frontier in R&D Project Evaluation?” R&D Management 29, 255-269.
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     Pindyck, R. S., 1993, “Investments of Uncertain Cost,” Journal of Financial Economics 34, 53-76.
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     Trigeorgis, L. 1991, “A Log-transformed Binomial Numerical Analysis Method for Valuing Complex Multi-option Investments,” Journal of Financial and Quantitative Analysis 26, 309-326.
     Trigeorgis, L., 1993, “Real Options and Interactions with Financial Flexibility,” Financial Management 22, 202-224.
     Trigeorgis, L., 1996, Real Options — Managerial Flexibility and Strategy in Resource Allocation. MIT Press, Cambridge Massachusetts.
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描述 博士
國立政治大學
財務管理研究所
g6357503
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000066
資料類型 thesis
dc.contributor.advisor 顏錫銘zh_TW
dc.contributor.advisor Yen, Simon H.en_US
dc.contributor.author (Authors) 吳明政zh_TW
dc.contributor.author (Authors) Wu, Ming Chengen_US
dc.creator (作者) 吳明政zh_TW
dc.creator (作者) Wu, Ming Chengen_US
dc.date (日期) 2002en_US
dc.date.accessioned 10-May-2016 18:56:45 (UTC+8)-
dc.date.available 10-May-2016 18:56:45 (UTC+8)-
dc.date.issued (上傳時間) 10-May-2016 18:56:45 (UTC+8)-
dc.identifier (Other Identifiers) A2010000066en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96310-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) g6357503zh_TW
dc.description.abstract (摘要) 　　建立適當的資本投資決策，對於企業未來的發展具有深遠的影響。如何能擬定出適合的資本預算計畫，以增加公司的成長機會與競爭能力，便是當前重要的課題。本論文以三個階段探討企業投資歷程中所具有的實質選擇權評價：包括對於計畫案擬定之初期，進行投資機會價值評估的實質成長選擇權。以及針對投資計畫開始進行時，管理者所擁有的各種管理彈性，如遞延、擴張、縮減與暫停投資的決策彈性，進行多重實質選擇權的價值評估。最後，針對未能順利成功的計畫案，管理者擁有將其永遠放棄，以收回投資成本殘值的實質放棄選擇權價值進行評估。
     　　對於第一階段的成長選擇權價值評估，本文已建立出同時考量標的資產與投資成本隨機變動，以及標的資產存在不連續跳躍特性下的選擇權評價封閉解，結果可用來評估計畫方案擬定初期的實質成長選擇權價值。若將評價模式中的參數進行限制，則本模型將會分別退化至Black and Scholes(1973), Merton(1976), Fischer(1978), Margrabe(1978), McDonald and Siegel(1985)等重要的選擇權評價文獻，可知本文已獲致較一般化的評價模型。
     　　在第二階段的多重實質選擇權價值評估，本文採用Trigeorgis(1991)所建立的對數轉換二項評價模式，再加入跳躍模型的考量，以符合科技產業所具有的創新、競爭特性，期較能合理評估其價值，也獲得了較一般化的評價模式。再者，本文以模擬方式對於管理者在投資計畫的進行過程中所擁有的遞延、擴張、縮減以及暫停投資等彈性決策價值進行評估，以彰顯出利用實質選擇權評價方法進行彈性決策價值評估的必要性。由數值分析的結果得到，當多個實質選擇權同時存在時，其間將產生不同程度的交互作用，因此並不能直接將個別價值予以加總來求算整體的實質選擇權價值。不過，每項管理彈性的加入對於整體價值的增加皆具有正向貢獻。
     　　對於第三階段的放棄選擇權價值評估，本文建立同時存在多項投資方案下的實質放棄選擇權評價模型，結果可用來評估研發計畫方案未能成功時的實質放棄選擇權價值。此外，本文進一步對於此評價模型進行數值分析，並將所得到的結果歸納如下：(1)方案間價值變動相關係數對於實質放棄選擇權價值的影響上，有相關係數越高時，實質放棄選擇權的價值就越高的現象。(2)殘值回收比率較高時，若採取較多的投資計畫方案，將可以獲致較高的實質放棄選擇權價值，此結果可作偽管理者在選擇備抵方案數目時的參考。(3)對於敏威性分析的探討，發現到當殘值增加、利率下降以及剩餘期間較長時，實質放棄選擇權的價值是增加的，此現象與賣權特性結果一致。
     　　因此，本文針對企業投資歷程中所具有的實質選擇權評價進行深入探討，分別建立選擇權評價模型，也獲致了較以往模型更一般化的評價結果。並於各評價模型建構完成後，輔以數值模擬與敏感性分析，以進一步說明本文所建構模型之一般性與合理性。最後，希望此結果有助於日後企業對於投資價值評估時之參考，並可彌補此類研究文獻的不足。		zh_TW
dc.description.abstract (摘要) 　　This dissertation presents three essays, each provides a general real option pricing model. In the first essay, we derive a generalized option pricing formula for the case of the underlying asset and exercise price both being driven by a mixture of continuous and jump diffusion processes. Our pricing model is a generalized version of Black and Scholes(1973), Merton(1976), Fischer(1978), Margrabe(1978), and McDonald-Siegel(l 985). And each of the historical model is shown to be a special case of ours. We then use the model developed in this article to evaluate real growth options where the underlying assets follow jump diffusion processes. The second essay develops a multi-option pricing model incorporating jump characteristics. The model we provide here can be used to value various types of flexibilities, including the option to defer, the option to shut down, the option to contract, and the option to expand. Based on our numerical results, we find that the model can deal with the interactions among these options. The third essay considers an abandonment option on the maximizing value of several investment projects. Here we develop a model to evaluate R&D projects that may not be accomplished. We show that both Black-Scholes`s model and Stuiz`s model are special cases of ours under certain restrictions on parameters. From the simulation results, we find a positive relation between the correlation of project value changes and the value of the real abandonment options. Furthermore, our simulation results show that the higher the percentage of recovering salvage value, the more number of investment projects should be carried out. The result we find can help managers to choose the better backup projects. Our sensitivity analysis shows that the value of the real abandonment options increase when the riskless interest rate decreases, and at the same time the salvage value and the time to maturity increase.en_US
dc.description.tableofcontents 謝詞
     中文摘要
     Abstract
     目錄-----i
     表次-----iii
     圖次-----iv
     第一章　導論-----1
     　　第一節　研究背景與動機-----1
     　　第二節　研究問題與目的-----3
     第二章　企業投資計畫擬定初期的成長選擇權評價-----7
     　　第一節　前言-----7
     　　第二節　文獻探討-----9
     　　第三節　成長選擇權評價模型的建立-----14
     　　第四節　模擬結果與分析-----21
     　　第五節　結論-----43
     第三章　企業投資計畫進行過程中管理彈性價值的多重實質選擇權評價-----44
     　　第一節　前言-----44
     　　第二節　模型的建構-----46
     　　第三節　數值模擬分析-----51
     　　第四節　結論-----59
     第四章　存在多項投資計畫下的放棄選擇權評價-----61
     　　第一節　前言-----61
     　　第二節　模型的建構-----63
     　　第三節　數值模擬分析-----71
     　　第四節　結論-----83
     第五章　結論與後續研究建議-----84
     　　第一節　結論-----84
     　　第二節　後續研究建議-----86
     參考文獻-----88
     附錄-----95
     　　附錄1　避險證券風險溢酬的衡量方式-----95
     　　附錄2　式(2-4)推導過程-----96
     　　附錄3　(2-4)式與McDonald and Siegel(1985)評價模式的比較說明-----100
     　　附錄4　式(3-2)推導過程-----101
     　　附錄5　式(3-8)推導過程-----102
     　　附錄6　LTB演算結構的主要步驟-----104
     　　附錄7　Stulz(1982)在兩標的資產存在下所建立的賣權評價模型說明-----107
     
     表次
     表2-1　本文評價模型與Fishcher (1978)模型的數值結果比較-----23
     表2-2　本文評價模型與Margrabe (1978)模型的數值結果比較-----27
     表2-3　本文評價模型的跳躍參數變動對實質成長選擇權價值的影響-----39
     表3-1　對數轉換二項模式基本參數值-----52
     表3-2　LTB模式中的主要參數值-----53
     表3-3　擁有各種彈性決策下之多重實質選擇權價值-----58
     表3-4　Trigeorgis (1991)於存在各種彈性決策下之實質選擇權價值-----59
     表4-1　投資方案間相關程度變動下之實質放棄選擇權價值-----76
     表4-2　在不同的殘值回收比率與投資方案個數下之實質放棄選擇權價值-----77
     
     圖次
     圖2-1　本文與Fischer (1978)之選擇權價值與股價變動的敏感性分析-----24
     圖2-2　本文與Fischer (1978)之選擇權價值與成本變動的敏感性分析-----25
     圖2-3　本文評價模型與價值、成本相關係數的敏感性分析-----26
     圖2-4　本文與Margrabe (1978)之選擇權價值與股價變動的敏感性分析-----28
     圖2-5　本文與Margrabe (1978)之選擇權價值與成本變動的敏感性分析-----29
     圖2-6　本文實質成長選擇權價值與計畫價值、投資成本的敏感性分析-----31
     圖2-7　本文實質成長選擇權價值與利率變動的敏感性分析-----32
     圖2-8　本文實質成長選擇權價值與標準差改變下的敏感性分析-----33
     圖2-9　本文實質成長選擇權價值與剩餘期間變動的敏感性分析-----34
     圖2-10　本文實質成長選擇權價值與利率、標準差改變下的敏感性分析-----35
     圖2-11　本文實質成長選擇權價值與利率、剩餘期間變動下的敏感性分析-----36
     圖2-12　本文烹質成長選擇權價值與標準差、剩餘期問變動下的敏威性分析-----37
     圖2-13　實質成長選擇權價值與跳躍頻率的敏感性分析-----40
     圖2-14　實質成長選擇權價值與跳躍幅度的敏感性分析-----41
     圖2-15　實質成長選擇權價值與跳躍幅度變異數的敏感性分析-----42
     圖3-1　對數轉換二項模式演算結構流程圖-----50
     圖3-2　遞延投資選擇權圖示-----54
     圖3-3　暫停投資選擇權圖示-----55
     圖3-4　縮減投資選擇權圖示-----56
     圖3-5　擴張投資選擇權圖示-----57
     圖4-1　實質放棄選擇權價值與殘值變動的敏感性分析-----78
     圖4-2　實質放棄選擇權價值與利率變動的敏感性分析-----79
     圖4-3　實質放棄選擇權價值與剩餘期間變動的敏感性分析-----80
     圖4-4　實質放棄選擇權價值與殘值以及利率變動的敏感性分析-----81
     圖4-5　實質放棄選擇權價值與殘值以及剩餘期間變動的敏感性分析-----82		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000066en_US
dc.subject (關鍵詞) 實質選擇權zh_TW
dc.subject (關鍵詞) 跳躍模型zh_TW
dc.subject (關鍵詞) 研發zh_TW
dc.subject (關鍵詞) 管理彈性zh_TW
dc.subject (關鍵詞) 企業投資zh_TW
dc.subject (關鍵詞) 資本預算zh_TW
dc.subject (關鍵詞) real optionsen_US
dc.subject (關鍵詞) jump-diffusion processesen_US
dc.subject (關鍵詞) research and developmenten_US
dc.subject (關鍵詞) managerial flexibilitiesen_US
dc.subject (關鍵詞) corporate investmentsen_US
dc.subject (關鍵詞) capital budgetingen_US
dc.title (題名) 企業投資之實質選擇權評價zh_TW
dc.title (題名) The Real Option Valuation of Corporate Investmentsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分
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