任務制mike面授專用p4實景課day8 article

Realoptions’valuationmethodologyaddstotheconventionalnetpresentvalue(NPV)estimationsbytakingaccountofreallifeflexibilityandchoice.Thisisthefirstoftwoarticleswhichconsidershowrealoptionscanbeincorporatedintoinvestmentappraisaldecisions.ThisarticlediscussesrealoptionsandthenconsidersthetypesofrealoptionscalculationswhiaybeencounteredintheP4paper,throughthreeexamples.Thearticlethenconsidersthelimitationsoftheapplicationofrealoptionsinpracticeandhowsomeofthesemaybemitigated.ThesecondarticleconsidersamorecomplexscenarioandexamineshowtheresultsproducedfromusingrealoptionswithNPVvaluationscanbeusedbymanagerswhenmakingstrategicdecisions.NETPRESENTVALUE(NPV)ANDREALOPTIONSTheconventionalNPVmethodassumesthataprojectcommencesimmediayandproceedsuntilitfinishes,asoriginallypredicted.Thereforeitassumesthatadecisionhastobemadeonanoworneverbasis,andoncemade,itcannotbechanged.Itdoesnotrecognisethatmostinvestmentappraisaldecisionsareflexibleandgivemanagersachoiceofwhtionstoundertake.Therealoptionsmethodestimatesavalueforthisflexibilityandchoice,whichispresentwhenmanagersaremakingadecisiononwhetherornottoundertakeaproject.Realoptionsbuildonnetpresentvalueinsituationswhereuncertaintyexistsand,forexample:(i)whenthedecisiondoesnothavetobemadeonanoworneverbasis,butcanbedelayed,(ii)whenadecisioncanbechangedonceithasbeenmade,or(iii)whenthereareopportunitiestoexploitinthefuturecontingentonaninitialprojectbeingundertaken.Therefore,whereanorganisationhassomeflexibilityinthedecisionthathasbeen,orisgoingtobemade,anoptionexistsfortheorganisationtoalteritsdecisionatafuturedateandthischoicehasavalue.WithconventionalNPV,risksanduncertaintiesrelatedtotheprojectareaccountedforinthecostofcapital,throughattachingprobabilitiestodiscrete esand/orconductingsensitivityysisorstresstests.Options,ontheotherhand,viewrisksanduncertaintiesasopportunities,whereupside escanbeexploited,buttheorganisationhastheoptiontodisregardanydownsideimpact.Realoptionsmethodologytakesintoaccountthetimeavailablebeforeadecisionhastobemadeandtherisksanduncertaintiesattachedtoaproject.Itusesthesefactorstoestimateanadditionalvaluethatcanbeattributabletotheproject.ESTIMATINGTHEVALUEOFREALAlthoughtherearenumeroustypesofrealoptions,intheP4paper,candidatesareonlyexpectedtoexinandcomputeanestimateofthevalueattributabletothreetypesofrealoptions:(i)Theoptiontodelayadecisiontoafuturedate(whichatypeofcallTheoptiontoabandonaprojectonceithascommencedifcircumstancesnolongerjustifythecontinuationoftheproject(whichisatypeofputoption),Theoptiontoexploitfollow-onopportunitieswhichmayarisefromtakingonaninitialproject(whichisatypeofcalloption).Inadditiontothis,candidatesareexpectedtobeabletoexin(butnotcomputethevalueof)redeploymentorswitchingoptions,whereassetsusedinprojectscanbeswitchedtootherprojectsandactivitiesForP4paperpurposes,itcanbeassumedthatrealoptionsareEuropean-styleoptions,whichcanbeexercisedataparticulartimeinthefutureandtheirvaluewillbeestimatedusingtheBlack-ScholesOptionPricing(BSOP)modelandtheput-callparitytoestimatetheoptionvalues.However,assumingthattheoptionisaEuropean-styleoptionandusingtheBSOPmodelmaynotprovidethebestestimateoftheoption’svalue(seethesectiononlimitationsandassumptionsbelow).FivevariablesareusedincalculatingthevalueofrealoptionsusingtheBSOPmodelasfollows:1Theunderlyingassetvalue(Pa),whichisthevalueoffuturecashflowsarisingfromthe2Theexerciseprice(Pe),whichistheamountpaidwhenthecalloptioniercisedoramountreceivediftheputoptioniercised.Therisk- (r),whichisnormallygivenortakenfromthereturnofferedbyashort-datedernmentbill.AlthoughthisisnormallythediscreteannualisedrateandtheBSOPmodelusesthecontinuouslycompoundedrate,forP4purposesthecontinuousanddiscretescanbeassumedtobethesamewhenestimatingthevalueofrealThevolatility(s),whichistheriskattachedtotheprojectunderlyingasset,measuredbythestandardThetime(t),whichisthetime,inyears,thatisleftbeforetheopportunitytoexerciseends.ThefollowingthreeexamplesdemonstratehowtheBSOPmodelcanbeusedtoestimatethevalueofeachofthethreetypesofoptions.IneachofthethreeexamplestheN(d1)andN(d2)figuresaredeterminedusingtheExcelnormaldistributionformula:=NORMSDIST(d1ord2cellUsingthenormaldistributiontablesthatareprovidedinexaminationstocalculatethevalueofrealoptionsmayresultinsmallroundingdifferences,butareequallyExample1:Delayingthedecisiontoundertakeaproject isconsideringbiddingfortheexclusiverightstoundertakeaproject,whichwillinitiallycost$35m. hasforecastthefollowingendofyearflowsforthefour-year12345Therelevantcostofcapitalforthisprojectis11%andtheriskrateis4.5%.Thelikelyvolatility(standarddeviation)ofthecashflowsisestimatedtobe50%.NPVwithoutanyoptiontodelaythe Cashflows($)-PV(11%)($)-NPV=Supposingthe doesnothavetomakethedecisionrightnowbutcanwaitfortwoyearsbeforeitneedstomakethedecision.LIMITATIONSANDManyofthelimitationsandassumptionsdiscussedbelowstemfromthefactthatamodeldevelopedforfinancialproductsisusedtoassessflexibilityandchoiceembeddedwithinphysical,long-terminvestments.European-styleEuropean-styleoptionsorAmerican-styleTheBSOPmodelisasimplificationofthebinomialmodelanditassumesthattherealoptionisaEuropean-styleoption,whichcanonlybeexercisedonthedatethattheoptionexpires.AnAmerican-styleoptioncanbeexercisedatanytimeuptotheexpirydate.Mostoptions,realorfinancial,would,inreality,beAmerican-styleoptions.InmanycasesthevalueofaEuropean-styleoptionandanequivalentAmerican-styleoptionwouldbelargelythesame,becauseunlesstheunderlyingassetonwhichtheoptionisbasedisduetoreceivesome ebeforetheoptionexpires,thereisnobenefitinexercisingtheoptionearly.Anoptionpriortoexpirywillhaveatime-valueattachedtoitandthismeansthatthevalueofanoptionpriortoexpirywillbegreaterthananyintrinsicvaluetheoptionmayhave,ifitwereexercised.However,iftheunderlyingassetonwhichtheoptionisbasedisduetoreceivesome ebeforetheoption’sexpiry;sayforexample,adividendpaymentforanequityshare,thenanearlyexerciseforanoptiononthatsharemaybebeneficial.Withrealoptions,asimilarsituationmayoccurwhenthepossibleactionsofcompetitorsmaymakeanexerciseofanoptionbeforeexpirythebetterdecision.InthesesituationstheAmerican-styleoptionwillhaveavaluegreaterthantheequivalentEuropean-styleBecauseofthesereasons,theBSOPmodelwilleitherunderestimatethevalueofanoptionorgiveavalueclosetoitstruevalue.Nevertheless,estimatingandaddingthevalueofrealoptionsembeddedwithinaproject,toanetpresentvaluecomputationwillgiveamoreaccurateassessmentofthetruevalueoftheprojectandreducethepropensityoforganisationstounder-invest.EstimatingEstimatingTheBSOPmodelassumesthatthevolatilityorriskoftheunderlyingassetcanbedeterminedaccurayandreadily.Whereasfortradedfinancialassetsthiswouldmostprobablybethecase,asthereislikelytobesufficienthistoricaldataavailabletoassesstheunderlyingasset’svolatility,thisisprobablynotgoingtobethecaseforrealoptions.Realoptionswouldprobablybeavailableonlarge,one-offprojects,forwhichtherewouldbelittleornohistoricaldataavailable.Volatilityinsuchsituationswouldneedtobeestimatedusingsimulations,suchastheMonte-Carlosimulationmodel,withtheneedtoensurethatthemodelisdevelopedaccurayandthedatainputusedtogeneratethesimulationsreasonablyreflectswhatislikelytohappeninpractice.OtherOtherlimitationsofrealTheBSOPmodelrequiresfurtherassumptionstobemadeinvolvingthevariablesusedinthemodel,theprimaryones(a)TheBSOPmodelassumesthattheunderlyingprojectorassetistradedwithinasituationofperfectmarketswhereinformationontheassetisavailablelyandisreflectedintheassetvaluecorrectly.Furtheritassumesthatamarketexiststotradetheunderlyingprojectorassetwithoutrestrictions(thatis,thatthemarketisfrictionless)(b)TheBSOPmodelassumesthatinterestratesandtheunderlyingassetvolatilityremainconstantuntiltheexpirytimeends.Further,itassumesthatthetimetoexpirycanbeestimatedaccuray(c)TheBSOPmodelassumesthattheprojectandasset’scashflowsfollowalognormaldistribution,similartoequitymarketsonwhichthemodelisbased(d)TheBSOPmodeldoesnottakeaccountofbehaviouralanomalieswhiaybedisyedbymanagerswhenmakingdecisions,suchasover-orunder-optimism(e)TheBSOPmodelassumesthatanycontractualobligationsinvolvingfuturecommitmentsmadebetweenparties,whicharethenusedinconstructingtheoption,willbebindingandwillbefulfilled.Forexample,inexamplethreeabove,itisassumedthatSwanCowillfulfilitscommitmenttopurchasetheprojectfromDuckCointwoyears’timefor$28mandthereisthereforenoriskofnon-fulfilmentofthatcommitment.Inanygivensituation,oneormoreoftheseassumptionsmaynotapply.TheBSOPmodelthereforedoesnotprovidea‘correct’value,butinsteaditprovidesanindicativevaluewhichcanbeattachedtotheflexibilityofachoiceofpossiblefutureactionsthatmaybeembeddedwithinaThisarticlediscussedhowrealoptionsthinkingcanaddtoinvestmentappraisaldecisionsandinparticularNPVestimationsbyconsideringthevaluewhichcanbeattachedtoflexibilitywhiaybeembeddedwithinaprojectbecauseofthechoicemanagersmayhavewhenmakinginvestmentdecisions.Itthenworkedthroughcomputationsofthreerealoptionssituations,usingtheBSOPmodel.Thearticlethenconsideredthelimitationsof,andassumptionsmadewhen,applyingtheBSOPmodeltorealoptionscomputations.Thevaluecomputedcanthereforebeconsideredindicativeratherthanconclusiveorcorrect.Thesecondarticlewillconsiderhowmanagerscanuserealoptionstomakestrategicinvestmentappraisaldecisions.WrittenbyamemberoftheP4examining投資評估和實物實物的估值方法通過考慮現(xiàn)實生活中的靈活性和選擇，增加了傳統(tǒng)的凈現(xiàn)值（NPV）估計。這是考慮如何將實物納入投資評估決策的兩篇文章中的第一篇。本文討論 ，然后通過三個例子考慮P4 中可能遇到的實物計算類型。然后，本文考慮了實 值使用實物所產(chǎn)生的結果。凈現(xiàn)值(NPV)和實物傳統(tǒng)的NPV方法假設項目立即開始并持續(xù)進行直至完成，如最初預測的那樣。因此，它假設必須立即做出決定，否則就不會做出決定，并且一旦做出就不能更改。實物方法估計這種靈活性和選擇的價值，當管理者決定是否進行一個項目時就會出現(xiàn)這種靈活性和選擇。在存在不確定性的情況下，實物建立在凈現(xiàn)值的基礎上，例如：(i)當決策不必立即做出或不會做出，但可以延遲時，(ii)當決策可以改變時一旦完成，或(iii)當未來有機另一方面，將風險和不確定性視為機遇，可以利用上行結果，但組織可以選擇忽略任何下行影實物方法考慮了做出決策之前的可用時間以及項目所附帶的風險和不確定性。它使用這些因素 的價值盡管實物有多種類型，但在P4 將決定推未來日期的選擇權（這是一種看漲跌），iii)（這是一種看漲）。以切換到其他項目和活動。對于P4 目的，可以假設真實的是歐式 平價來估計然而，假設是歐式并使用BSOP模型可能無法提供價值的最佳估計（請參閱下面有關使用BSOP模型計算實物價值時使用五個變量，如下所示標的資產(chǎn)價值（Pa），行權價格（Pe），即行權看漲時支付的金額或行權看跌時收到的金額無風險(r)，通常從短期票據(jù)提供的回報中給出或獲取。盡管這通常是離散年化利率，并且BSOP模型使用連續(xù)復利利率，但出于P4目的，在估計實物價值時可以假設連續(xù)利率和離散時間(t)，即鍛煉機會結束之前剩余的時間（以年為單位）。以下三個示例演示了如何使用BSOP 中每種的價值。在這三個示例中，N(d1)和N(d2)數(shù)字均使用Excel正態(tài)分布 確定：=NORMSDIST（d1或d2單元格）。使用考試中提供的正態(tài)分布表來計算實物的價值可能會導致較小的