mit_valuation_Real Option Valuation教程

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1、RealOptionValuationEntrepreneurialFinance(15.431)-Spring2002-AntoinetteSchoarSpottingReal(Strategic)Options•StrategicoptionsareacentralinvaluingnewventuresoOptiontoexpandoOptiontodelayoOptiontoabandonoOptiontogetintorelatedbusinesses•Differentapproachestov

2、aluingrealoptionsoDecisionanalyticapproachoBinomialmethodoBlack-Scholesmodel2EntrepreneurialFinance(15.431)-Spring2002-AntoinetteSchoarRealOptionsinTraditionalValuationMethods•WherearerealoptionsinDCFMethod?oNowhere!•WherearerealoptionsinVentureCapitalMeth

3、od?oValuationsmightbecompletelybasedonrealoptionsvalueifthemarketpricedtheseinoButwehavenowaytoknowwhetherthemarkethascorrectlyaccountedforrealoptions3EntrepreneurialFinance(15.431)-Spring2002-AntoinetteSchoarExampleof“RealOptions”AnalysisinHorizonCommunic

4、ations•Supposethekeysourceofuncertaintyisthemarkupofpriceovercarriersettlements.Inthebaseline(rosy?)scenarioitwasassumedthatthiswas25%.•Supposethatinsteadthereisreallya50%chancethatit’s25%anda50%chancethatit’s15%.•Howwouldyoumodelthisuncertainty?4Entrepren

5、eurialFinance(15.431)-Spring2002-AntoinetteSchoarTheWrongWaytoModelMarkupUncertainty•Takethemeanmarkup,20%,andplugthatnumberintotheprojections.•Assuming3%terminalgrowth,thisgivesanenterprisevalueof$4.1Mpermarket.IfHorizonistoenter10similarmarkets,thiswould

6、giveavaluationof$41M.•Notethecontrasttoourprevious(optimistic)valuationof$13.7Mpermarketor$137Mfor10markets.5EntrepreneurialFinance(15.431)-Spring2002-AntoinetteSchoarWhytheWrongWayisWrong•Thisapproachfailstotakeintoaccountthatthevalueofenteringtheothermar

7、ketsisnegativeifthemarkupisonly15%.Infact,thevalueofeachmarketis-$5.9M..513.7.5-5.9•IfinthefirstyearortwooftheChicagomarket,youlearnthatyoucanonlyget15%markups,not25%markups,thenitisnotoptimaltoentertheothermarkets.oSpottingtherealoptionpotentialheremeanss

8、tagingtheentryintothelocalmarkets.6EntrepreneurialFinance(15.431)-Spring2002-AntoinetteSchoarHorizonSingleCityValuationMarkup25%12345678Revenue0.89.421.835.049.063.865.767.7CarrierSettlem0.67.116.426.336.847.