Sequential Capital Budgeting as Real Options: The Case of a New DRAM Chipmaker in Taiwan

doi:10.1142/S0219091503000992

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/23770

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题名:	Sequential Capital Budgeting as Real Options: The Case of a New DRAM Chipmaker in Taiwan
作者:	Chang-Wen Duan;William T. Lin;Cheng Few Lee
贡献者:	淡江大學財務金融學系
关键词:	Average sales price;CAPM;Compound options;Dividend-like yield;DRAM;Lattice method;Real call options;Secant method;Vector autoregression
日期:	2003-03
上传时间:	2009-11-30 17:52:56 (UTC+8)
出版者:	World Scientific Center, Center for PBBEF Research
摘要:	We evaluate the initial public offering price of a new DRAM chipmaker in Taiwan in accordance with the compound real call options model of Lin (2002). 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 as a portfolio of DRAM manufacturing firms publicly listed in Taiwan stock markets. We estimate the dividend-like yield with two methods, and find that the yield is negative. The negative dividend-like yield results from the negative correlation between the newly constructed DRAM foundry and its twin security, implying the diversification advantage of a new generation of DRAM foundry with a relative low cost of investment opportunity. We solve the critical value for the multivariate normal integral with the secant method, approximating the integral with the lattice method. It has been found that there is only a 4.6% difference between the market IPO price and the estimated one.
關聯:	Review of pacific basin financial markets and policies 6(1), p.87-112
DOI:	10.1142/S0219091503000992
显示于类别:	[財務金融學系暨研究所] 期刊論文

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