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2015 硕士论文 Real Options Analysis as a tool for Start-Up Company Investment Valuation 57页
BACKGROUND/INTRODUCTION ....................................................... 5
1.1 Topic and research question ................................ 7
1.2 Real Option Analysis ......................................... 8
1.3 Research method ........................................... 8
1.4 Research Plan .................................................. 9
START-UPS............................................. 11
2.1 Start-up company definition ............................ 11
2.2 Start-up financing ....................................... 11
INVESTMENT AND ITS VALUATION ....................... 13
3.1 Investment decision ................................... 13
3.1.1 Different methods to value an investment ................. 14
3.1.2 Net Present Value(NPV) ............................................ 15
3.1.3 Discount rate ................................................... 17
3.2 Option ...................................................................... 18
3.2.1 Option valuation with NPV approach .................... 19
3.3 Real options ...................................................... 20
3.3.1 Real Option Definition....................................... 20
3.3.2 The risk-adjusted discounted cash flow method ........................ 22
3.3.3 Replicating portfolio approach ................ 23
3.3.4 Option valuation using the replicating portfolio approach ...... 24
3.3.5 Black-Scholes option pricing model ............................. 26
3.3.6 Differences between financial and real options .......................... 26
3.3.7 Marketed asset disclaimer .............................................................. 27
3.3.8 The risk-neutral probability approach ......................................... 28
3.3.9 Event tree and Decision Tree – ROA is a multi-period model . 29
3.3.10 The four-step process for valuing real options ....................... 34
3.3.11 The option to expand and other real options .......................... 35
3.3.12 Uncertainty ..................................................... 36
4 THE CASE ................................................................. 37
4.1 Case company ....................................................... 37
4.1.1 History ........................................................ 37
4.1.2 Business model ............................................. 38
4.1.3 Present day and future ........................................ 38
4.2 The company characterization ................................ 40
4.3 The investment plan ..................................................... 40
4.4 Real option description ................................................. 41
4.5 Four-step process to value the real option ...................... 41
4
4.5.1 Net present value of the investment........................ 42
4.5.2 Event tree and the cash flow estimation ............................. 44
4.5.3 Decision tree ............................................................ 45
4.5.4 Real options analysis........................................... 50
5 CONCLUSIONS .................................................... 52
5.1 The case finale ...................................................... 52
5.2 End notes and further research .......................... 52
6 REFERENCES
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