The Value of Management Flexibility－Applying Fuzzy Real Option Approach in Investment Project Valuation

• Main Authors: Wei-Chien Chen, 陳為謙
• Other Authors: Shang-wu Yu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/qcxar3

碩士 === 國立臺灣科技大學 === 資訊管理系 === 94 === This research is based on Black and Scholes option valuation formula. And uses the concept of Fuzzy Theory to improve the performance of ROV(Real Option Valuation). So we apply a FROV(Fuzzy Real Option Valuation) model by combining Fuzzy Theory with ROV to valuate investment projects. According to Robert, Mark and Amrit(2005), we divide real options into six types which are Defer Option, Stage Option, Change Scale Option, Switch Option, Abandon Option and Strategic Option. In the literature, we apply the FROV model to valuate these six cases of real options and compare with the traditional Net Present Value approach. The conclusions of this research are presented as follows: 1.The FROV model is more proper for the investment projects with higher risk and higher volatility. Most investment projects with management flexibility are undervalued when using traditional Discounted Cash Flow approaches. So we could valuate these kinds of projects more accurately by applying FROV model. 2.Traditionally, we use sensibility and scenario analysis after real option valuation. But the volatility breadth of the analysis is too subjective and difficult to define. When we use FROV model instead of traditional real option model, we find that it’s more intuitive and practical. It can provide a broad perspective of investment projects for the decision makers. 3.This research uses six types of real options to valuate investment projects. It can valuate investment projects more properly from a real option viewpoint. 4.This research applied different valuation models to valuate different kinds of investment projects. Including European Call Option Model, European Put Option Model, American Call Option Model and Expanded Net Present Value Model. 5.From the research, we can know that traditional approaches cannot valuate some investment projects in some cases. They need other approaches to improve the performance of valuation.