OptiontoAbandon-McGraw-Hill放弃期权-麦格劳山

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1、RealOptionsPrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillChapter22McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredFollowUpInvestmentsAbandonWaitVaryOutputorProductionCorporateOptions4types

2、of“RealOptions”1-Theopportunitytomakefollow-upinvestments.2-Theopportunitytoabandonaproject3-Theopportunityto“wait”andinvestlater.4-Theopportunitytovarythefirm’soutputorproductionmethods.Value“RealOption”=NPVwithoption-NPVw/ooptionIntrinsicValueOptiontoWaitOptionPriceStockPr

3、iceIntrinsicValue+TimePremium=OptionValueTimePremium=ValeofbeingabletowaitOptiontoWaitOptionPriceStockPriceMoretime=MorevalueOptiontoWaitOptionPriceStockPriceExample-AbandonMrs.Mullagivesyouanon-retractableoffertobuyyourcompanyfor$150milatanytimewithinthenextyear.Giventhefol

4、lowingdecisiontreeofpossibleoutcomes,whatisthevalueoftheoffer(i.e.theputoption)andwhatisthemostMrs.Mullacouldchargefortheoption?Useadiscountrateof10%OptiontoAbandonExample-AbandonMrs.Mullagivesyouanon-retractableoffertobuyyourcompanyfor$150milatanytimewithinthenextyear.Given

5、thefollowingdecisiontreeofpossibleoutcomes,whatisthevalueoftheoffer(i.e.theputoption)andwhatisthemostMrs.Mullacouldchargefortheoption?OptiontoAbandonYear0Year1Year2120(.6)100(.6)90(.4)NPV=14570(.6)50(.4)40(.4)OptiontoAbandonYear0Year1Year2120(.6)100(.6)90(.4)NPV=162150(.4)Op

6、tionValue=162-145=$17milExample-AbandonMrs.Mullagivesyouanon-retractableoffertobuyyourcompanyfor$150milatanytimewithinthenextyear.Giventhefollowingdecisiontreeofpossibleoutcomes,whatisthevalueoftheoffer(i.e.theputoption)andwhatisthemostMrs.Mullacouldchargefortheoption?Realit

7、yDecisiontreesforvaluing“realoptions”inacorporatesettingcannotbepracticallydonebyhand.Wemustintroducebinomialtheory&B-SmodelsCorporateOptions