NO.PZ2018101501000018
问题如下：
Company M has a four-year project with an expansion option, which depends on the demand at the end of the 1st year. Whether demand is -high- or -low- in Years 1–4 will be determined during the first year. The probabilities of -high- or -low- demand are equal. The cost of capital is 12%. We should notice that the expansion option will not exist if the initial investment is not made. The detailed information of the project is given in the following tables.
The initial project:
Additional cash flows with the optional expansion project:
The NPV of the initial project without the real option is given to be -13.32, what’s the NPV of project including the expansion option?
选项：
A.-$6.11 million
B.$6.37 million
C.$19.69 million
解释：
B is correct.
考点：Evaluating Projects with Real Options
解析：t=1时，如果是高需求，NPVexpansion = -100 + = $44.11 million，此时扩张期权会执行。如果是低需求，NPVexpansion = -100 + = -$27.95 million，此时扩张期权不会执行。
t=0时，Expected NPVexpansion = 0.5*44.11/1.12 = $19.69 million
因此在考虑了扩张期权之后的NPV = -13.32 + 19.69 = $6.37 million
李老师上课是直接计算npv不要折现
cf0=0 cf1=-100 cf2-4=60 这样计算出来是-832.4 的npv 哪里计算错误？
计算出来在乘以prob才是最终的option vlaue
