比较净现值、决策树和实物期权51.pptVIP

More on the risk-adjusted and risk-neutral approaches Exhibit 4.6 shows a two-period example of a project that has a current value of $100 with objective probabilities, q = 0.6, and ( 1 – q ) = 0.4, of moving up by 20 percent or down by 16.67 percent each time period. Given a weighted average cost of capital of 5.33 percent, we have a mutually consistent set of assumption. The present value, the objective probabilities multiplied by the payoffs, and the risk-adjusted discount rate are a triad of assumptions that must be mutually consistent with each other. V0 = $100, V1 = 0.6 (120) + 0.4 (83.33) = $105.33, and V2 = 0.36 (144) + 2 (0.6)(0.4)(100) + 0.16 (69.44) = $110.95 This is greater than the $25 payoff if we exercise the option at node D. Therefore, we hold (i.e., we keep our option alive to exercise later). At node E : m = 0.1636,B=-10.88,Cd= 2.75 At node F : m = 0.6823,B=-52.53,C0= 15.70 The risk-adjusted return changes from node to node reflecting the changing risk of the payoffs. The advantage of the risk-neutral probability approach is that the risk-neutral probabilities remain constant from node to node. Comparison of financial and real options The underlying for a financial option is a security such as a share of common stock or a bond (or interest rates), while the underlying for a real option is a tangible asset, for example, a business unit or a project. Both types of option are the right, but not the obligation, to take an action. The fact that financial options are written on traded securities makes it much easier to estimate their parameters. With real options, the underlying risky asset is usually not a traded security; therefore, we make the Marketed Asset Disclaimer assumption that we can estimate the present value of the underlying without flexibilities by using traditional net present value techniques. Another important difference between financial and real options is that most financial options are side bets. They are not issued by the compa