以實質選擇權評估發行彩券之投資決策

Using Real-Option to Evaluate the Investment Decision of Issuing lottery

林正益(Jeng-Yi Lin)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300396

摘要

出擴展淨現值，其值均大於其相對狀況下的傳統淨現值。亦即投資案之淨現值，雖然均大於零，但明顯地忽略『管理彈性』的價值。換句話說，一個投資案的真正價值應是以傳統淨現值為評估基準下再加上實質選擇權之價值，才能完整呈現其投資價值。另外，由於財政部法令中對於最低銷售量的限制，本研究特別調整緊縮選擇權的投資支出狀況，發現計算出的新型擴展NPV價值大於原型的擴展NPV價值。表示此此種設定方式能賦予緊縮選擇權更高的價值，增加投資人信心。
在敏感度分析方面：關於投資案收益的變動，發現其不論與擴展NPV與實質選擇權價值均屬於正相關的狀況。另外當無風險利率變動時，對於擴展NPV與實質選擇權價值均屬負相關。最後關於標準差之變動，由於實質選擇權評價來說，其具有下方風險的特性。所以不論是擴展NPV及選擇權價值均屬正相關。摘要(英)鍵入您的論文摘要This paper used LTB Model (Log-Transformed Binomial Numerical Analysis Model) to evaluate the real value of issuing l

關鍵字

敏感度 ； 彩券 ； DCF法 ； 對數轉換二項式實質選擇權評價模式

並列摘要

to consider the minimum sales volume that are stipulated by the Treasury Department, we adjusted the disbursement of contract option. We compared the traditional DCF model and real-option pricing model in terms of suitability.
Considering with or without the adjusted contract option, the Expand NPV always bigger than traditional NPV Model. It means that the traditional NPV Model ignored the value of ‘Flexible Management’. In the other words, the real vale of an investment is to combine the fundamental of NPV and the real-option. Due to the restrictions of minimum sales volume, the new adjusted contract option will not only increase the value of contract option, but also enhance investors confidence.
Finally, this paper performs sensitivity analysis on the value of investment, nominal risk-free rate, and standard deviation. The value of investment and standard deviation changes with downside risk had positive impacts on real-option value and Expand NPV. Only nominal risk-free rate changes had negative effects for both real-option value and Expand NPV.指導教授陳若暉Click Here 可以新增或移除口試委員資訊 論文檔案9091041.pdfClick Here 可以新增或移除檔案 論文全文使用權限 校內外均立即公開 Click Here

並列關鍵字

Lotto ； LTB Model (Log-Transformed Binomial Numerical Analysis ； Sensitivity Analysis ； DCF Model (Discounted Cash Flow Model)

參考文獻

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