臺灣博碩士論文加值系統

管理者以資本預算衡量投資計畫之價值時，應考量計畫中包含可隨市場情況修正決策之彈性，此管理之彈性包括投資計畫的遞延、擴充、放棄或終止，其能以「實質選擇權」之觀念衡量其價值，而此管理之彈性可增加計畫之價值。傳統之資本預算在評價投資計畫時均假設資本為不可逆，即不考量資本之經濟殘值，然實際上並非所有之資本皆為不可逆，部分原始投資如廠房設備等，可出售於次級市場得到設備之殘值。因此，當資本之殘值大於計畫存續可產生之現金流量時，管理者應選擇執行「放棄選擇權」退出市場；相反的，若市場情況極佳，超過原先投資計畫之預期，管理者會執行「擴充選擇權」增加投資金額，以最大化投資計畫之價值。本研即考量放棄及擴充實質選擇權之價值，探討其與傳統淨現值所估計之計畫價值之差異。

Capital budgeting should consider the value of real options, such as the option to delay, grow, expand, suspend, and abandon, because managerial flexibility can add to the value of the project, and the managers can change their strategy as the business environment changes to gain profit or to avoid loss. The traditional NPV method measures the investment cost as irreversible, but actually many facilities have the salvage value, and the firm can sell them in the secondary market. Once the expected cash flow that the project can gather is smaller than the salvage value of the capital, the firm will exercise the abandonment option and exit the market; conversely, if the business excels the firm’s original expectation, the firm will exercise the expansion option to increase the investment. This study comprehensively considers the option to expand and the option to abandon to value the project and discusses the difference between the real options approach and the traditional capital budgeting.

Contents
I. Introduction ……………………………………………1
II. Literature Review …………………………………… 6
( i ) Financial option ………………………………………6
( ii ) Real option ……………………………………………8
( iii ) Option to expand ………………………………………10
( iv ) Option to abandon ……………………………………12
III. Methodology ……………………………………………16
( i ) Basic assumptions ……………………………………17
1. Inverse demand function ……………………………17
2. Variable cost of production ………………………18
3. Capital of the firm……………………………………19
4. The salvage value of the capital …………………19
5. Full capacity……………………………………………20
( ii ) The evaluation of the project ……………………20
IV. Numerical Solutions …………………………………43
V. Conclusions………………………………………………48
Appendix ……………………………………………………………49
Reference ……………………………………………………………51

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