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木木RJ · 2022年03月20日

另一种思路用WA来解析

* 问题详情,请 查看题干

NO.PZ202109170100001402

问题如下:

What is the NPV (C$ millions) of the optimal set of investment decisions for Bouchard Industries including the production-flexibility option?

选项:

A.

–C$6.34 million

B.

C$7.43 million

C.

C$31.03 million

解释:

B is correct. The additional NPV of adding shifts if demand is “high” is


If demand is low, the production-flexibility option will not be exercised. The optimal decision is to add shifts only if demand is high. Because the production-flexibility option is exercised only when demand is high, which happens 50% of the time, the expected present value of adding shifts is NPV = 0.50(26.18) = C$13.09 million. The total NPV of the initial project and the production-flexibility option is NPV = –C$5.66 million + C$13.09 million = C$7.43 million. The option to add shifts, handled optimally, adds sufficient value to make this a positive-NPV project.

看了老师得答疑,我觉得概率每次都是50%对50%,那这道题目可以转化为CF0=-190,CF1=0.5*40+0.5*20=30, CF2=0.5*40+0.5*20+0.5*0+0.5*5=32.5,CF3-CF10=32.5,I/Y=10,得出一样得结果,可惜这题目题意没完全理解透导致做错

1 个答案

王琛_品职助教 · 2022年03月21日

嗨,爱思考的PZer你好:


同学的思路是可以的

一般实务期权的题目,有两种思路

第一种是将期权单独考虑,即解析的思路,先考虑不含权项目的 NPV,再单独考虑期权,再计算二者之和

第一种是将期权涉及的现金流,合并在项目的各期现金流中,即同学的思路

不管使用哪种方法,关键都是确认好各期的现金流

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