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1、,Real Options,Principles of Corporate FinanceSeventh EditionRichard A. Brealey Stewart C. Myers,Slides byMatthew Will,Chapter 22,McGraw Hill/Irwin,Copyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved,Topics Covered,Follow Up InvestmentsAbandonWaitVary Output or Production,Corporate
2、Options,4 types of “Real Options”1 - The opportunity to make follow-up investments.2 - The opportunity to abandon a project3 - The opportunity to “wait” and invest later.4 - The opportunity to vary the firms output or production methods.Value “Real Option” = NPV with option - NPV w/o option,Intrinsi
3、c Value,Option to Wait,Option Price,Stock Price,Intrinsic Value + Time Premium = Option ValueTime Premium = Vale of being able to wait,Option to Wait,Option Price,Stock Price,More time = More value,Option to Wait,Option Price,Stock Price,Example - AbandonMrs. Mulla gives you a non-retractable offer
4、to buy your company for $150 mil at anytime within the next year. Given the following decision tree of possible outcomes, what is the value of the offer (i.e. the put option) and what is the most Mrs. Mulla could charge for the option?Use a discount rate of 10%,Option to Abandon,Example - AbandonMrs
5、. Mulla gives you a non-retractable offer to buy your company for $150 mil at anytime within the next year. Given the following decision tree of possible outcomes, what is the value of the offer (i.e. the put option) and what is the most Mrs. Mulla could charge for the option?,Option to Abandon,Year
6、 0Year 1Year 2 120 (.6) 100 (.6) 90 (.4)NPV = 145 70 (.6) 50 (.4)40 (.4),Option to Abandon,Year 0Year 1Year 2 120 (.6) 100 (.6) 90 (.4)NPV = 162 150 (.4),Option Value =162 - 145 =$17 mil,Example - AbandonMrs. Mulla gives you a non-retractable offer to buy your company for $150 mil at anytime within
7、the next year. Given the following decision tree of possible outcomes, what is the value of the offer (i.e. the put option) and what is the most Mrs. Mulla could charge for the option?,RealityDecision trees for valuing “real options” in a corporate setting can not be practically done by hand. We must introduce binomial theory & B-S models,Corporate Options,
