碩士 / 東吳大學 / EMBA高階經營碩士在職專班 / 99 / The Discounted Cash Flow Models ignore the high risky uncertainties of the investment environment and flexible strategic actions that may be taken when facing these uncertain risks. This leads to inadequate investments and reduces the competitive ability of enterprises. The Real Option pricing model quantifies the uncertain risks that have been neglected in the traditional appraising tools, and thus the true value of the investment reward can be measured more accurately.
The development of sewage systems has been greatly promoted by the government through the adopting of the Build-Operate- Transfer (BOT) model, which is also considered as one of the most important items out of all the scheduled private participating programs. The life span for each sewage BOT project lasts as long as thirty five years, although the government provides a promising payment schedule, the private sectors remain hesitant due to the numerous uncertainties and the risks involved. The private sectors employ the traditional pricing method, which does not help alleviate their anxiety regarding the possible impact of uncertain factors towards investment rewards.
A binomial multi-step option pricing model is derived herein based upon the theory of Real Option. This model is suitable for application in the BOT sewage project. A case study regarding the Taoyuan sewage system BOT project is performed. The study has shown that (1) Traditional Net Present Value (NPV) method has underestimated the investment reward for those high risk projects. (2) Parameters including project value, risk- free interest rate and volatility are positively proportional to the investment reward; while the project cost is inversely proportional. (3) The longer the time period from granting the prior negotiating rights to finishing the contracting process, the higher the real option value.
| Identifer | oai:union.ndltd.org:TW/099SCU05457004 |
| Date | January 2011 |
| Creators | Borhan Huang, 黃博凾 |
| Contributors | Da-Bai Shen, C. F. Ko, 沈大白, 柯瓊鳳 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 93 |
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