任務(wù)制mike面授專用p4實(shí)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(shí)物實(shí)物的估值方法通過考慮現(xiàn)實(shí)生活中的靈活性和選擇，增加了傳統(tǒng)的凈現(xiàn)值（NPV）估計(jì)。這是考慮如何將實(shí)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(gè)例子考慮P4 中可能遇到的實(shí)物計(jì)算類型。然后，本文考慮了實(shí) 值使用實(shí)物所產(chǎn)生的結(jié)果。凈現(xiàn)值(NPV)和實(shí)物傳統(tǒng)的NPV方法假設(shè)項(xiàng)目立即開始并持續(xù)進(jìn)行直至完成，如最初預(yù)測的那樣。因此，它假設(shè)必須立即做出決定，否則就不會(huì)做出決定，并且一旦做出就不能更改。實(shí)物方法估計(jì)這種靈活性和選擇的價(jià)值，當(dāng)管理者決定是否進(jìn)行一個(gè)項(xiàng)目時(shí)就會(huì)出現(xiàn)這種靈活性和選擇。在存在不確定性的情況下，實(shí)物建立在凈現(xiàn)值的基礎(chǔ)上，例如：(i)當(dāng)決策不必立即做出或不會(huì)做出，但可以延遲時(shí)，(ii)當(dāng)決策可以改變時(shí)一旦完成，或(iii)當(dāng)未來有機(jī)另一方面，將風(fēng)險(xiǎn)和不確定性視為機(jī)遇，可以利用上行結(jié)果，但組織可以選擇忽略任何下行影實(shí)物方法考慮了做出決策之前的可用時(shí)間以及項(xiàng)目所附帶的風(fēng)險(xiǎn)和不確定性。它使用這些因素 的價(jià)值盡管實(shí)物有多種類型，但在P4 將決定推未來日期的選擇權(quán)（這是一種看漲跌），iii)（這是一種看漲）。以切換到其他項(xiàng)目和活動(dòng)。對于P4 目的，可以假設(shè)真實(shí)的是歐式 平價(jià)來估計(jì)然而，假設(shè)是歐式并使用BSOP模型可能無法提供價(jià)值的最佳估計(jì)（請參閱下面有關(guān)使用BSOP模型計(jì)算實(shí)物價(jià)值時(shí)使用五個(gè)變量，如下所示標(biāo)的資產(chǎn)價(jià)值（Pa），行權(quán)價(jià)格（Pe），即行權(quán)看漲時(shí)支付的金額或行權(quán)看跌時(shí)收到的金額無風(fēng)險(xiǎn)(r)，通常從短期票據(jù)提供的回報(bào)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(fù)利利率，但出于P4目的，在估計(jì)實(shí)物價(jià)值時(shí)可以假設(shè)連續(xù)利率和離散時(shí)間(t)，即鍛煉機(jī)會(huì)結(jié)束之前剩余的時(shí)間（以年為單位）。以下三個(gè)示例演示了如何使用BSOP 中每種的價(jià)值。在這三個(gè)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(jì)算實(shí)物的價(jià)值可能會(huì)導(dǎo)致較小的