本文利用Lonstaff and Schwartz（2001）所提出之LSM美式選擇權模擬評價法，提出考慮美式實質選擇權的完整專案模擬評價架構，並以台灣3G執照之評價作為運算範例。依據3G執照營運規範與3G業者營運模式，本文同時考慮具有階段性質（Sequential）的擴張選擇權與倒閉選擇權，並直接以現金流量相關參數作為風險來源標的變數。在實際運算時，本文提出完整的參數估計法；同時並將複雜的階段性擴張選擇權拆解成個別美式選擇權，將個別選擇權分別運用LSM法評價，大幅簡化運算難度。
評價結果，在五同質得標業者時，個別執照於2002/1/1日之合理價值約為387億台幣；而決策彈性價值約49.5億台幣，佔總價值14.68％，對執照價值的影響相當顯著。同時，由敏感度分析，亦可看出當專案預期NPV較低，或專案不確定性較大時，決策彈性價值會顯著增加，此時以實質選擇權架構方可正確評價專案價值。

This article presents a complete method of valuing projects with sequential American-style growth option by using Monte-Carlo simulation and illustrates this method by valuing Taiwan 3G license. To price American-style option by simulation easily and efficiently, we use the “Least-Squares Approach” proposed by Lonstaff and Schwartz(2001) which only uses simple least-square regression. To make the method practical, we present a systematic way of determining underlying variables and stochastic process, estimating various parameters, and computing FCF and project value. To reduce the complexity of pricing sequential American-style growth option, we provide an approximate approach to divide the whole sequential into individual American-style growth option and pricing them separately.
This article is organized as follows. Section 1 prefaces this article. Section 2 reviews related theory and research. Section 3 describes the underlying theoretical framework and the complete valuation process. Section 4 provides the outcome of Taiwan 3G license valuation and related parameter estimation. Section 5 summarizes the results and makes concluding remarks.

第一章 緒論…………………………………………………...1
第一節 研究動機與目的……….………………………………….1
第二節 評價資料來源………………….………………………….2
第三節 研究架構………………….……………………………….2
第二章 文獻探討……………………………………………...4
第一節 實質選擇權概述……….………………………………….4
第二節 實質選擇權之評價………………….…………………….6
第三節 美式實質選擇權之模擬法評價………………….……….8
第三章 研究方法……………………………………………...9
第一節 3G執照營運合約之重要規範……….……………………9
第二節 評價模型基本架構………………….…………………...10
第三節 隨機過程（Stochastic Process）之設定推導……………12
第四節 評價運算：Monte Carlo Simulation……………………..18
第四章 運算過程與結果…………………………………….25
第一節 參數估計……….…………………………………..…….25
第二節 運算結果………………….………………………..…….31
第三節 敏感度分析………………….……………………..…….32
第五章 結論…………………………………………….……36
第一節 評價結果分析……………………………………..…….36
第二節 一般性結論………………….…………………….……..37
第三節 後續研究方向…………………….…………….………..38
附 錄……………………………………………………...…40
附錄一 野村對於台灣３G業者的的投資行為假設…………….40
附錄二 野村對於台灣３G用戶數、ARPU、收入之預測………..42
參考文獻……………………………………………………...43

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