实物期权在房地产投资决策中应用研究

房地产项目投资具有不可逆性、高度不确定性和管理的灵活性,运用传统的净现值法不能挖掘出项目投资的这些性质所带来的价值,而应用实物期权方法进行房地产投资决策研究,不仅考虑到了房地产投资的不确定性,还体现了投资决策者的柔性管理和战略投资的价值.文章分析了传统净现值法的一些不足,介绍了实物期权的基本理论,并采用了B-S期权定价模型对房地产投资决策过程中蕴含的增长期权进行了案例分析,使得房地产投资决策更加科学合理.     

实物期权在电子商务投资决策中的应用

电子商务自产生以来迅猛发展。由于电子商务的投资具有极大的不确定性,标准的折现现金流量模型,如净现值法或更为传统的投资回报率法不适于用来评估其价值。因此,本文将使用一种新的方法-实物期权法,分析其在电子商务投资决策中的作用与优势以及它与净现值法的区别。     

实物期权在石油开发中的应用

传统净现值法主要适用于不确定性很小的投资项目，不适用于如石油开发这种高风险的项目。文章介绍了一种新的评估方法：实物期权法。以石油开发为例，介绍了实物期权的模型及类型，并对该方法的的适用性做了简单评述。     

模糊实物期权方法在PPP项目价值评估中的应用

在投资、建设、运营和移交的过程中,PPP项目价值是利益各方关注的首要问题.在PPP项目全寿命期周期内,市场环境、政策以及决策者本身带来的不确定性都可能影响项目的价值,此类价值很难通过传统的评价方法计算,而需要借助实物期权的思想来获得.本文在相关研究的基础上,提出了基于模糊实物期权的PPP项目价值评估一般步骤:资料收集与整理、项目价值分析、实物期权界定与分析、项目价值计算、敏感性分析、得出结论.然后,推导出模糊实物期权价值计算模型,并应用于香港迪斯尼乐园二期项目实物期权价值评估,得出项目价值范围.最后对模型进行讨论,结果分析表明该项目价值受资产现值影响最大,建设、运营成本和建设时间次之.     

资产投资的期权评价方法

投资机会实际上是一种期权,就象金融期权一样,一种在未来能进行某项活动的权力而非义务。将资产投资机会视作期权,而期权是有价值的,这样就会极大地改变资产投资项目评估的理论和实践。因为,传统的投资项目评估采用的净现值(NPV)方法最大的缺点是忽略了投资机会具有期权价值这一特征。 本文先从期权的涵义说起,接着说明传统的净现值法进行项目评估的缺陷,把期权理论融合于投资理论之中,最后给出一个实证分析的例子。一、期权的概念     

实物期权法在投资项目决策中的应用

经营柔性的存在使得投资者在投资过程中具有某种相机选择权，而无相应的义务。由于这种相机的选择权和期权的特点十分相似．因此，本文提出用实物期权法对传统净现值法进行改进。分析了实物期权的种类和定价模型，并通过一个实例说明实物期权法在投资项目决策中的具体应用。     

包含多重复合实物期权的风险项目价值研究

实物期权估值方法能反映风险项目的机会价值和高度不确定性,但实际风险项目往往包含多个、多期的期权,各期权相互影响,不能简单相加,因而难以应用.文章通过蒙特卡罗模拟,实证研究了当风险项目包含复合多重实物期权时,其估值的一般方法.分析了包含一个扩张期权、一个复合交换型期权和一个普通复合期权的风险项目灵活性价值,并讨论了期权的相互作用和期权价值对变量的敏感性.     

内部收益率和净现值解析

内部收益率（IRR），是项目寿命期内，现金流入的现值总额与现金流出的现值总额相等、净现值为零时的折现率；净现值（NPV）是项目寿命期内，现金流入现值总额与现金流出现值总额的差额。净现值法（NPV法）和内部收益率法（IRR法），是对投资项目进行评估时，检验项目财务整个寿命期盈利能力的较好方法。IRR法和NPV法均是设定若干假设条件后，考虑货币的时间价值，根据评估对象的现金流量计算资金投入的回报。所不同之处在于IRR法是求假设当净现值为零时的折现率，而NPV法则是先给出一个折现率而计算出现金流量的净现值。这两种方…     

基础设施PPP项目实物期权界定与分析

PPP项目自身特点决定了项目运作过程中需要更为弹性的决策管理方法。实物期权方法更加重视弹性决策的价值问题,它可以用来对由未来变化决定的项目、不确定性大的项目以及需要战略修正的项目等进行评价。在PPP项目运作程序分析的基础上,分阶段界定了PPP项目的实物期权类型和实物期权的拥有人;并且从PPP项目全寿命期的角度认为所有参与者拥有的是一个非常复杂的多重复合期权,给出了PPP项目全寿命期实物期权分析路径图,以帮助管理者在项目运作过程中进行弹性决策。本研究是PPP项目价值评估的基础工作,同时也是PPP项目全寿命期风险管理的有力工具。使得实物期权在PPP项目实践中更具操作性。     

实物期权法在油田经济评价中的应用综述

在油田领域，学者们对实物期权法的研究一方面集中于识别与构造油田勘探开发中的实物期权，另一方面集中于实物期权法在油田经济评价中的应用研究。国外学者在陆上油田投资、海上油田投资、油田开发时机的选择以及战略和风险投资领域对实物期权法的研究与应用方面作出了较大贡献。国内的研究机构和学者虽然进行了一些研究，但是实物期权法在国内油田勘探开发领域还没有得到足够的重视，针对油田具体实际情况进行实物期权法的应用研究很少。实物期权法在油田经济评价中的应用特点包括：重视对不确定性因素的研究，将风险评估与效益评价相结合，注重灵活性的价值，与其他方法结合使用。为了更好地在油田经济评价中应用实物期权法，需要全面推广实物期权的思想，建立一般意义上的实物期权模型，识别勘探开发项目中的实物期权，开发出简单实用的应用软件。     

DISCOUNT RATE VALUE AND CASH FLOW DEFINITION: A NEW RELATIONSHIP AND ITS IMPLICATIONS

This article uses different standpoints to approach the question of the consistency of project valuation methods. It shows that the NPV of a project can be obtained by discounting adjusted operating cash flows at a different rate from the risk-adjusted discount rate which should normally be used. Each of the conventional project valuation methods (standard WACC, equity residual, Arditti-Levy, APV) accordingly corresponds to a specific choice of the discount rate. Thus the convergence of these methods is obvious when the risk-adjusted discount rate integrates a debt ratio equal to the one of the project. Moreover, we obtain the Modigliani-Miller relationship generalized to the case of a project of any duration.     

东北某探区油页岩资源开发项目经济评价

油页岩资源经济评价的主要任务是评价油页岩开发建设项目的经济可行性,常用的评价方法有静态法和动态法两种,关键指标有财务内部收益率、投资回收期、净现值和现值指数等。文章以东北某探区油页岩开发项目为例,采用动态评价方法对该项目的经济可行性进行了研究,并具体介绍了相关指标的选取方法,对于提高油页岩开发项目经济评价的准确性和决策效率有一定的参考作用。     

Optimised asset replacement strategy in the presence of lead time uncertainty

This paper develops an optimal replacement strategy for capital intensive equipment with long delivery lead time. The strategy is based on an extended version of the real options approach to repeated replacement decisions, in which the goal is to determine the operating cost and delivery lead-time conditions upon which a replacement should be ordered.The real options approach to capital replacement problems is superior to traditional net present value (NPV) approaches, as it values of the option to adapt decisions based on current (rather than predicted) system conditions. However, previous applications of the real options approach to repeated replacement have not considered the impact of long and uncertain lead times, and have therefore focused on when to replace rather than when to order. Delivery lead times are an important consideration in an expanding mining sector in which demand for heavy mobile equipment (HME) exceeds the capacity of suppliers to provide the equipment in a timely manner.The inclusion of a lead time element results in a decision with an “option” period and an “option-less” period. Simulations are used to demonstrate the improved outcome of real options based replacement strategies compared with those derived using a traditional NPV approach, both with and without lead times. Further the performance of the order placement strategy with different boundary conditions, bounded and reflecting, is explored. No appreciable difference in performance of these strategies was identified. The optimal order placement strategy incorporating delivery lead times is displayed on a simple chart which is accessible to fleet management personnel.     

Real Options—An Introduction and an Application to R&D Valuation

In this short paper, we summarize the real options approach and show how it can be used to introduce flexibility into the capital budgeting process. We then go on to show an application of real option evaluation to research and development valuation in the pharmaceutical industry. Our calculations and illustrations are in Excel and can be easily replicated.     

A BETTER UNDERSTANDING OF WHY NPV UNDERVALUES MANAGERIAL FLEXIBILITY

The Real Options paradigm addresses the valuation of managerial flexibility in capital budgeting. Despite the great strides achieved by researchers in this field, many financial analysts have chosen not to adopt this new paradigm due to a lack of comfort with the approach and the mathematical complexity of the valuation models. This article shows how some projects with real options can be valued using simple and familiar tools-discounting expected cash flows after adjusting the discount rate. Unless the discount rate is adjusted to account for the impact of real options on risk, a traditional net present value (NPV) analysis misses the value of flexibility. By narrowing the gulf between Real Options analysis and more familiar tools, the weighted average discount rate (WADR) approach introduced in this paper may help novices better understand die Real Options paradigm, which subsequently may gain the wider acceptance it deserves. Though the WADR approach is practical only for simple real options, comfort with the approach may encourage analysts to pursue more advanced and robust real option valuation techniques for more complex applications.     

Real options valuation: the new frontier in R&D project evaluation?

The real options approach has recently received growing attention in R&D and Technology Management research. Recent empirical findings by Ellis (1997) and Busby and Pitts (1997) also report growing attention and use in practical investment decisions. However, there is a certain concern about the applicability to a wide range of R&D related problems. The theoretical base behind options valuation is derived from the capital markets and thus assumes market conditions that are closer to the theoretical construct of 'perfect competition' than most other settings. Even under these conditions, several assumptions made and difficulties left are subject to controversial discussions. Of course these problems even gain importance when the R&D environment with its discontinuities and lack of regulation or institutionalized trade is assumed. This paper describes some basic properties of the real options approach and sheds light on existing problems for the application in R&D project evaluation. On the other hand, roads to application of the method are shown using the Geske model of option evaluation. One main goal of the paper is to broaden and deepen the discussion on real option models in R&D and Technology Management, which has in some cases been limited to stressing the advantages of the method rather than reflecting on applicability and concrete way of application of the method.     

Switch,Switch, Switch! A Regime-Switching Option-Based Model for Valuing a Tolling Agreement

This article proposes a real options valuation of a tolling contract using a combined switching option and volatility regime switching model. In a tolling-based transaction, the toller becomes the energy manager (but not the owner) of the power plant, having the option to switch it on or off to benefit from (mitigate) the upside (downside) potential related to frequent, jumpy fluctuations of power (and gas) prices. Value creation from such flexibility in managing the spark spread risk may be better captured by expanding the static NPV of the plant via exercise of a switching (compound) option having the plant itself as an underlying two-market-based asset portfolio (electricity and gas). Results from adoption of a pentanomial lattice pricing approach show that the set of tolling fees the toller would prefer to pay to the tollee “in equilibrium” is a decreasing function in the portfolio volatility because of the higher risk being borne by the former. Though the toller is willing to fairly pay equal or less than the value created from active management of the power plant, obtaining a positive net profit, the tollee may rely on a constant flow of bullet bond-like installments, securing remuneration of equity capital invested and arrangement of a project financing for plant construction.     

Strategic NPV: Real Options and Strategic Games under Different Information Structures

Research summary : Among the most difficult firm strategic choices is the trade‐off between making a long‐term commitment or holding off on investment in the face of uncertainty. To operationalize strategic management theory under demand, technological and competitive uncertainty, we develop a Strategic Net Present Value (NPV) framework that integrates real options and game theory to quantify value components and interactions at the interface between NPV, real options, and strategic games. Our approach results in new propositions clarifying the way learning‐experience conditions, technological uncertainty, and proprietary information interact to tilt the balance in the interplay between wait‐and‐see flexibility and strategic commitment. As such, Strategic NPV adds to our understanding of the conditions where NPV, real options, or strategic thinking are more relevant. Managerial summary : This study develops and elucidates implementation of a new valuation construct, “Strategic Net Present Value (NPV),” that integrates real options and game theory to more accurately portray strategic decisions underlying management theory. Among the most difficult firm strategic choices in capital intensive industries, such as energy, mining, chip manufacturing, and infrastructure development, is the trade‐off between making a long‐term commitment or holding off on investment in the face of demand, technological, and competitive uncertainties. The study provides new insights on the way various conditions, such as learning‐experience effects, technological uncertainty, and proprietary information, interact to tilt the balance in the interplay between commitment and wait‐and‐see flexibility. As such, Strategic NPV adds to our understanding of when NPV, real options, or strategic thinking matter more critically for decision making. Copyright © 2017 John Wiley & Sons, Ltd.     

Evaluating Product Plans Using Real Options

Product planning helps a company to strategically plan its current and future product platforms and offer product variants in the marketplace. Product platforming is widely touted as a successful strategy for mass customization. However, due diligence should be exercised before implementing any product platform strategy. The product planning exercise should account for future uncertainties. Traditional financial tools such as the net present value (NPV) are static since they do not compensate for any exogenous and endogenous uncertainties during the course of the project. The crux of the problem lies in the evaluation model that is used for evaluating the product planning projects. While many view uncertainties in a product planning project as problematic, it can also be viewed as a source of new opportunities. We argue that uncertainties should be an integral part of the evaluation model. If the future possibilities (or strategic options) are not considered in the evaluation model, a corporation may face a “myopic syndrome”.

In this article, we consider two important product planning decisions—platform decisions and product variant decisions. The platform decision involves strategic selection of a concept product platform from various possible alternative concept product platforms. The product variant decision involves deciding how long a company should continue to offer its current product variant in the marketplace and whether the existing product variant should be discontinued, scaled down, or scaled up with additional product features. To address the two aforementioned decisions, we developed a real options–based methodology that considers technical, project implementation, and market-related uncertainties. The proposed methodology uses a binomial and quadranomial lattice approach to build a decision tree. Product planning decisions at various decision tree nodes are evaluated using a risk-neutral option valuation methodology. We demonstrate the working of the proposed methodology using an illustrative example.     

The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis

The magnitude of the effect of government-sponsored enterprise purchases on primary mortgage market rates has been a difficult research question with differing data and competing methodologies producing varying results. Here we present a new approach using loan level data and controlling for credit risk differentials between conforming and nonconforming loans. Our method also addresses econometric problems of endogeneity and sample selection bias. We find that conforming loans have yield spreads about 5.5% lower compared to other loans on a risk-adjusted basis. This is lower than previous estimates appearing in the literature.