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

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题名:	Sequential Capital Budgeting as Real Options：The Case of a New DRAM Chipmaker in Taiwan
作者:	Duan, Chang-Wen;Lin, William T.;Lee, Cheng Few
贡献者:	淡江大學財務金融學系
关键词:	台灣;資本資產定價模式;複合選擇權;實質買權;資本預算;實質選擇權;Taiwan;Capital Asset Pricing Model;Compound Option;Real Call Option;Capital Budgeting;Real Option
日期:	2002-12
上传时间:	2014-02-11 23:57:49 (UTC+8)
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 to be 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:	財經情勢及衍生性產品研討會論文集，頁394-421
显示于类别:	[財務金融學系暨研究所] 會議論文

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