Opciones reales
1
A simple example of the option to expand
ABC Corp. is considering replacing each of its existing
six widget machines withnew machines. The new machines cost $1000 each and have a five year-life.
A
3 Year
B
0
C
1
D
2
E
3
F
4
G
5
4
CF of single machine
-1000
220
300
400
200150
2
The financial analyst working on the replacement
project has estimated a cost of capital for the project of 12%. Using these expected cash flows and a cost of capital of 12% for theproject; the analyst has concluded that the replacement of a single old machine by a new machine es unprofitable, since the NPV is negative:
220 300 400 200 150 1000 67.48 2 3 4 51.12 (1.12) (1.12) (1.12) (1.12)
3
Now comes the (real options) twist. The line manager
in charge of the widget line says: “I want to try one of the new machines for a year, if theexperiment is succesful, I want to replace five other similar machines on the line with the new machines. If I do not try one of the new machines, I will never know their true cash flows.”… Does this changeour previously negative conclusion about replacing a single machine? The answer is “yes”..to see this, we now realize that what we is a package:
4
Replacing a single machine today. This has aNPV of -
67.48 The option of replacing five more machines in one year. Then we view each such option as a call option on a asset which has current value of:
220 300 400 200 150 S 932,52 2 3 4 5 1.12 (1.12) (1.12) (1.12) (1.12)
A variance of 40% and an exercise price X=1000. Of
course, these call options can be exercised only if we purchase that first machine now, in effectthe real options model will be pricing the learning cost… Excel Example
5
BINOMIAL MODELS AND THE ABANDONMENT OPTION
Another way to view options is to use a bonomial
models first...
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