, ( ), .
(capital investment options) (real options) , .
, , . ( ) . . (" "). . ( , ). , . , , .
:
( ) abandonment option;
( ) timing option;
(strategic investment option).
- , .
( ). , , , . . ( , , ), (NPV). , , , , .. , .
|
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:
(value of option) = ( , ) = NPV NPV .
- ( ), .
. : " ". , ( , , , ..), . , , - . , .. . NPV .
:
1) "" NPV ;
2) ( ) .
:
= NPV NPV , .
. . , ( NPV) . , .
NPV , .
NPV = NPV + NPV + + NPV + NPV .
? ( ) , ?
, , , . 4.
, . . 8.8. , .
8.8. ,
- | - |
( PV ) | PV |
( ) |
|
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. , . , ( NPV) . NPV .
. . . .
, , . ( ). -, . 3.
NPV ( , NPV , NPV, , NPV). NPV NPV ( NPV).
NPV . NPV. .
, , ( NPV), . .
( ).
- . , . ( NPV).
NPV . , , . .
. ( ). . , , . ( , ). . 6, .
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. ( ) ( ).
, , , . , . , .
. .
1. , , . . , 10 . ., . , . 400 . 50% ( ). 20%.
, ?
, ? ?
X .
= + + 50% =
= 400 = + 0,5 400 .
:
400 + X = + 0,5 400 + X).
X . , 10 . = 0,5 400 PV 3- 1 . = 20%. = 23736 .
, (2 , 3 , 4 ) .
2. , , :
) (1), (2);
) (1), (2);
) (1), (2);
|
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) - (1), (2).
) 1;) 1;) 1; ) 1.
3. 2- . 7 . . - 1,4. 12% 20% :
1) ;
2) 1 2.
1. , , :
k=10% + (20% - 10%)1,4 = 24%. PV= 7000/1,24 + 7000/ 1,242 = 10197,55.
2. 7000(1) /1,1 + 7000() / 1,12 = 10197,55 7000(1) / 1,1 + 7000() / 1,12 = 7000 /1,1 1,1 / 1,24 + 7000 / 1,12 1,12 / U42.
, 1= 1,1/1,24; = 1,12 / 1,242. 1= 0,887; = 0,78. 6209 . ., - 5460 . .
4. " - 21 ", ( ), .
8 . . . 3 . . . 4 . ( 25%), . . 2 5 . 35%. ( ) 12 . . . , .
1. 12%, . ?
2. , " 21 ".
1. : ( - ) (1 ).
, ( , ). , , , . , .
. :
( ) (1 ) + , ; ( ).
: = 12 . 0,25 = 3 . . . .
: 3 . 0,35 = 1,05 . . . 4 .
( 4 ) :
t= 1 | (=2 | /= 3 | /= 4 |
8- 3x0,65 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 |
NPV = - + + = 12 + 3,25 (PVIFA 4, 12%) + 1,05 (PVIFA 4, 12%) = 1,06 . . . , ( ) . .
|
|
2- ( , , ). , :
t= 1 | t=2 | t= 3 | t= 4 |
3,25 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | 1,05 | 1,05 |
NPV = -12 + 3,25 (PVIFA 2, 12%) + 1,05 (PVIFA 4, 12%) = -3,32 . . .
2 :
t= 1 | t=2 | t=3 | t= 4 |
3,25 + 1,05 = 4,3 | (8-3+12-6) 0,65 + 1,05 = 7,15+1,05 |
NPV= -12 + 3,25/1,12 + 1,05 (PVIFA 2, 12%) + 7,15/1,12 2 = -12 + 2,9 + + 1,77 + 5,7= 1,63 . . . , (6 . . .) , .
3- :
t= 1 | t=2 | t=3 | t= 4 |
3,25+ 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | 1,05 |
NPV= -12 + 3,25 (PVIFA 3, 12%) + 1,05 {PVIFA 4, 12%) = -1 . . . :
t= 1 | t=2 | t=3 | t= 4 |
3,25 + 1,05 = 4,3 | 3,25 + 1,05 = 4,3 | (8 - 3 + 12 - 9)0,65 + + 1,05 = 5,2 + 1,05 |
NPV = -12 + 3,25 (PVIFA 2, 12%) + 1,05 (PVIFA 3, 12%) + 5,2/1,12 -12 + 5,5 + 2,52 + 3,7 = -0,28 . . .
5- :
t= 1 | t=2 | t=3 | t= 4 | t= 5 |
3,25 + 1,05 | 3,25 + 1,05 | 3,25 + 1,05 | 3,25 + 1,05 | 3,25 |
NPV = -12 + 3,25(PVIFA 5, 12%) + l,05(PVIFA 4, 12%) = 2,89 . . .
2. NPV NPV= 6,98 - l,97X. 18% {NPV 0).
Microsoft Excel. " (k%, 4,3; 4,3; 4,3; 4,3) - 12" :
k% | 16,13 | |||||||
NPV | 2,9 | 2,2421 | 1,63 | 1,0606 | 0,52 | 0,032 | -0,2 |
5. "" 30 . . . 3 . "" 0,7, 5 0,2. . 0
BHM(IRR) . , () 30 ., 0,7 3 30 . . . 0,3 3 . 3, 5. 0,3. 5 100%- . 5 30 . . . 0,3 0,2 = 0,06.
:
= r :
( ) ( , 8,3%). ( . 7). ( ). , NPV(k), (. 7.6), , , . , .
6. . :
1) ;
2) , ( ).
, 2 . , .
, , .. t = 2 t =1. . 0,1.
? ? ? t = 0 100 . ., ?
:
( " "):
. , 1 , , .
2 (.. ). , - ( ). NPV , NPV.
. 1 20,4 . . (0,6 30 + 0,4 6 = 20,4). 2 . 2 = 190 . . : 0,6 0,8 = 0,48.
2 0,48 190 + 0,6 0,2 40 + 0,4 0,5 180 + 0,4 0,5 30 = 138.
10% (k = 10%) NPV= 110 + 20,4 /1,1 + 138 / 1,12 = 22,5 . .
. - 1 : 14 + 3 = 17; 2 59,4. NPV = = -50+17/1,1 + 59,4/1,12 =14,5.
NPV , :
1 (NPV1 / 1) 22,5/110 = 0,2;
2 = (NPV2 / 2) = 14,5/50 = 0,29.
t = 1 . t = 1 50 . ., t = 1.
:
t = 1: -21 + 3 = -18; t=2 101,4.
NPV2 : -50- 18/1,1 + 101,4/1,12 = 17,44.
NPV , NPV 2 , , . = NPV2 ( ) - NPV2 = 17,44 14,5 = = 2,94. 50 . . 2,94 . .
( - ). ( ) , , , NPV. NPV .
:
100 . ., , , 6. , 40% 106 . .
NPV= -110 + (0,6 30 + 0,4 106)/1,1 +96/ 1,12=24,2 . .
, , , 22,5 24,2 . .
= NPV NPV = 24,2 - 22,5 = 1,7 . .
.. : . . . .: : , 1998. . 375-400.
.. . : . . ' , 1997. . 380412.
.. : . .: , 1998. . 144-161.
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