English  |  正體中文  |  简体中文  |  Items with full text/Total items : 50122/85142 (59%)
Visitors : 7895729      Online Users : 65
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23554


    Title: Multistage compound real options: theory and application
    Authors: Lin, William T.;Lee, Cheng-few;Duan, Chang-wen
    Date: 2006-08-15
    Issue Date: 2009-11-30 17:44:16 (UTC+8)
    Publisher: Boston, MA : Springer Science+Business Media, Inc.
    Abstract: We explore primarily the problems encountered in multivariate normal integration and the difficulty in root-finding in the presence of unknown critical value when applying compound real call option to evaluating multistage, sequential high-tech investment decisions. We compared computing speeds and errors of three numerical integration methods. These methods, combined with appropriate root-finding method, were run by computer programsFortran and Matlab. It is found that secant method for finding critical values combined with Lattice method and run by Fortran gave the fastest computing speed, taking only one second to perform the computation. Monte Carlo method had the slowest execution speed. It is also found that the value of real option is in reverse relation with interest rate and not necessarily positively correlated with volatility, a result different from that anticipated under the financial option theory. This is mainly because the underlying of real option is a nontraded asset, which brings dividend-like yield into the formula of compound real options.
    In empirical study, we evaluate the initial public offering (IPO) price of a new DRAM chipmaker in Taiwan. The worldwide average sales price is the underlying variable and the average production cost of the new DRAM foundry is the exercise price. The twin security is defined to be a portfolio of DRAM manufacturing and packaging firms publicly listed in Taiwan stock markets. We estimate the dividend-like yield with two methods, and find the yield to be negative. The negative dividend-like yield results from the negative correlation between the newly constructed DRAM foundry and its twin security, imply the diversification advantage of a new generation of DRAM foundry with a relative low cost of investment opportunity. It has been found that there is only a 4.6 percent difference between the market IPO price and the estimated one.
    Relation: Encyclopedia of Finance, pp.555-584
    Appears in Collections:[財務金融學系暨研究所] 專書之單篇

    Files in This Item:

    File SizeFormat
    index.html0KbHTML154View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback