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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/74192

    Title: 交易信用投資策略之隨機模型
    Other Titles: The stochastic model of the investment strategy for trade credit
    Authors: 陳伯源;Chen, Po-Yuan
    Contributors: 淡江大學管理科學研究所博士班
    張紘炬;Chang, Horng-Jinh
    Keywords: 隨機價格;隨機利率;交易信用;實質選擇權;Stochastic Price;Stochastic Interest Rate;Trade Credit;Real Option
    Date: 2011
    Issue Date: 2011-12-28 18:14:42 (UTC+8)
    Abstract: 傳統資金管理的成效有賴於對未來現金流量預測之準確性,然而在金融風暴蔓延與貨幣戰爭激烈的不確定年代,產品價格、利率與匯率等風險深深影響公司獲利的穩定性。基於傳統財務管理理論未能充分將企業經營的不確定性納入考量,本論文將價格與利率的不確定性整合至公司理財與投資決策模型中,提出一個在延遲付款下的公司價值評價模型,並進而推導出公司價值的封閉解。接著將公司價值的動態,以隨機動態規劃法與蒙地卡羅模擬法,分別推導出在風險環境下具有延遲支付貨款權益的公司之實質選擇權價值。
    In the world surrounded by uncertainties ranging from financial crisis to currency war, the volatility of commodity price, interest rate and foreign exchange rate significantly affects the stability of corporate earnings. However, many frameworks of corporate valuation did not explicitly take into account risk factors, which the thesis intends to incorporate in a valuation model for a firm with trade credit under price and interest rate uncertainties. Analytical solutions for corporate value under uncertainties are derived and used as the basis of further formulation for the real option value, representing the investment profits for such a firm with trade credit under uncertainties. The stochastic dynamic programming and Monte Carlo simulation approaches are employed to derive the real option value.
    This thesis integrates the stochastic interest rate model of Merton (1973) and the geometric Brownian motion model of price into a framework for corporate valuation when a firm facing both the price and the interest rate risks. The risks are propagated from the price, the interest rate, the future cash flows to the corporate value. The supplier allows the firm to defer its merchandise payments due to the trade credit terms. To obtain more earnings, the firm has an opportunity to invest the deferred payment amounts in interest-bearing financial instruments. Other factors considered in this framework include the cost rate, the market share, the price elasticity of demand, and the time length of credit period. The analytical solution for corporate value is derived. Subsequently, the analytical and numerical solutions for the investment threshold and the real option value are obtained. The sensitivity analyses of the corporate value, the investment threshold, and the real option value are performed in illustrations. The managerial implications provide an insight into the investment strategy for the firm under uncertainties.
    Appears in Collections:[Department of Management Sciences] Thesis

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