多現金流量計畫之分析

投資計畫往往涉及多個現金流計畫，目前作法是將其直接相加，但各別計畫特性皆不相同，所產生的現金流量分配也不相同，直接相加會忽略各現金流間相關性的影響，導致結果會高估或是低估計畫案之管理彈性。本研究用兩現金流計畫做個案分析，先用現金流量法計算其淨現值，接著透過蒙地卡羅模擬分析計畫效益之預期淨現值及風險，再用B-S model計算出選擇權價值，發現單獨加總之計劃淨現值會小於合併之計劃淨現值，做敏感度分析後發現兩計劃間之相關性及共變異數，會影響合併計劃之總風險，進而影響整體計畫之風險值，造成選擇權價值不同。此結果可讓管理者再進行非單一現金流計劃案時有個參考依據。

關鍵字

資本預算；折現現金流量法；實質選擇權；蒙地卡羅模擬分析

並列摘要

Financial project always involve multiple cash flow project, valuation method is adding them directly now, but every cash flow has its own characteristic so will produce different probability distribution. Adding them directly will ignore their correlation effect, it may over- or under-estimate the value of managerial flexibility. A study with two cash flow project is used, valuating it by DCF method, and using Monte Carlo simulation to analyze, then using B-S model to calculate option value, it shows that portfolio cash flow is different to combine cash flow. The result will provide manager a consult in processing multiple cash flow project.

並列關鍵字

Capital Budget ； Discounted Cash Flow Method ； Real Option ； Monte Carlo Simulation

參考文獻

55. 劉芬美、陳博亮， 2011，”運用二階段實質選擇權降低BOT 計畫之財務風險－以高雄第一港口觀光纜車計畫為例”，技術學刊，第二十六卷，第三期，第143~155頁。

4. Black, F. and M. Scholes ,“The Pricing of Options and Corporate Liabilities＂, Journal of Political Economy, 81, pp. 637–654, 1973.

5. Boyle, P.P., Options: A Monte Carlo approach, Journal of Financial Economics, 4, 323-338, 1977.

7. Copeland, T., Koller, T., Murrin, J., Valuation: Measuring and Managing the Value of Companies. 3rd ed. New York: Wiley, 2000.

8. Cox, J., S. Ross ,M. Rubinstein, “Option Pricing: A Simplified Approach.” Journal of Financial Economics, 7, No.3, pp.229-263, 1979.

國際替代計量

多現金流量計畫之分析

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