臺灣博碩士論文加值系統

本文運用實質選擇權法建構公司在面臨未來不確定之技術創新方案之最適投資策略模型。本研究考量許多現實環境中企業會面臨之問題，例如：未來之技術創新與獲利假設為隨機，用以代表未來之不確定性，並於模型中納入類股利率比例參數，藉以表示等待投資或升級之機會成本，並推導出一封閉解。此外，針對國內高科技產業公司進行模型之測試，進而探討模型在各參數變動下，最適投資策略與時間之變化與影響，提供公司在面對未來不確定之技術創新與升級方案決策時之參考準則。

This study employs a real option pricing approach to conduct an evaluation of the optimal investment strategy for a firm confronted with sequential technology innovations. Stochastic assumptions of innovations in their arrival times and their profitability are added to the model, so as to conform to the most important characteristics of real-world technology markets. Furthermore, this study incorporates a dividend-like payout yield which stands for the opportunity cost of waiting to invest. Simulations and sensitivity analysis of the derived model are presented. It is hoped that the results of this study will help predict actual firm policy.

Abstract I
Chinese Abstract II
Acknowledgements III
Content IV
List of Figures VI
List of Tables VI
CHAPTER 1 INTRODUCTION
1.1 Research Background and Motivation 1
1.2 Research Purpose and Problems 2
1.3 Research Structure and Outline 3

CHAPTER 2 LITERATURE REVIEW
2.1 Reviews on Real Options Approach 5
2.2 Dividend-like Payout Rate 6

CHAPTER 3 THE MODEL CONSTRUCTION
3.1 The Valuation Model of Upgrade Options 8
3.2 Innovation Adoption Behaviors in Different Environment 15

CHAPTER 4 NUMERICAL Results
4.1 The Data 22
4.2 Sensitivity Analysis and Simulation Results 24

CHAPTER 5 CONCLUSIONS AND RECOMMENDATIONS
5.1 Conclusions 33
5.2 Recommendations 33

References 35

List of Figures
Figure 1.1 The structure of research 4
Figure 2.1 Potential migration strategies 5
Figure 4.1 The relationship between the expected arrival time of future innovation and the upper boundary of the technology level 27
Figure 4.2 The relationship between the opportunity costs of waiting to invest and the lower boundary of the technology level 31
Figure 4.3 The relationship between the opportunity costs of waiting to invest and the upper boundary of the technology level 31
Figure 4.4 The relationship between the opportunity costs of waiting to invest and the option value of purchasing the current innovation 32
Figure 4.5 The effect of the speed of innovation arrival on the probability of migration strategies, with opportunity costs of waiting to invest 32

List of Tables
Table 4.1 Notations and parameter values 23
Table 4.2 Simulation of the value of the option to upgrade 26
Table 4.3 Simulation of the value of the optimal technological migration strategy and the value of the option to purchase the current innovation 30

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