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Alex · 2018年03月03日

问一道题:NO.PZ201601200500000804 第4小题 [ CFA II ]

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问题如下图:

    

选项:

A.

B.

C.

解释:


老师,我觉得计算方式是不是有问题:

0时刻,投资190,

1时刻,50%可能需求low,那么维持现状,收入20。50%需求high,收入40,再投190。但是投入190以后的2-10时刻,不能保证都是高需求啊,还是有可能会出现低需求。所以算好的40.36和-74.82应该取平均才对吧。然后再乘以0.5再折现。才是扩张期权的npv。


另外,本题和上一题,低需求的npv符号都不对,去年就有人提出来了。还么有改哦。


1 个答案
已采纳答案

吴昊_品职助教 · 2018年03月04日

expansion option是否要执行取决于第一笔投资在第一年的demand是不是high,如果是high,t=1时刻再投资,后续9笔现金流是40。这个t=1时刻的option不考虑其他年份demand的改变。

谢谢同学,我们会及时修改符号的。





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NO.PZ201601200500000804 请问行权的时候不就是最优价值了吗?为什么最后还要加上没有option的原始NPV呢?谢谢!

2021-10-23 10:56 1 · 回答

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2021-07-29 16:45 2 · 回答

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2020-06-04 11:09 1 · 回答

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