金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch17.pdfVIP

CHAPTER 17 - Real Options End-of-Chapter Problems 1. Tony knows that, at any point in time over the next five years, he can close down half of his production facilities and liquidate the property, building and equipment for a sum of $10 million. However, the value of the remaining operations would be adversely impacted and the decline in value would be 40 percent. Describe the option involved in terms of the underlying risky asset, the exercise price, the time to maturity, and the volatility. Solution: This option to rescale operations is a put option on fixed assets of the firm with a $10 payoff. The option has a five-year time to maturity and the exercise price is the 40 percent loss in value of the remaining operations plus the opportunity cost of the existing market value of the fixed assets in question. 2. During many periods of past history and in many jurisdictions there have been statutes outlawing usury, the charging of excessive interest. Consider the following scheme to bypass such prohibitions. Suppose you were a merchant and found it necessary to finance your warehouse but loans at a positive rate of interest are illegal. From the investor you accept cash, and in exchange present the deed to the warehouse. You promise to repurchase the property at a specified price ($P) in two years and the investor also promises to sell the warehouse to you for $P on the same date. If you initially needed $500,000 to acquire the warehouse, and the investor requires a 20 percent per year return on investment, at what value should $P have been set? What options are involved in this plan and what risk would the investor bear? Solution: If the investor requires a 20 rate of return on his investment then at the end of two years you would owe the following payment of the original borrowing and interest: 2 500000?() 1+ 20% = 720000.000 $720,000 If you have a European call option on the warehouse with a expiration in two yea