Πραγματικά Δικαιώματα προαίρεσης
of 28
/28
Embed Size (px)
description
Πραγματικά Δικαιώματα προαίρεσης, Διατμηματικό Πρόγραμμα Μεταπυχιακών Σπουδών "Οικονομική και Διοίκηση των τηλεπικοινωνικών Δικτύων", Τμήμα Πληροφορικής και Τηλεπικοινωνιών, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακόν Πανεπιστήμιον Αθηνών, Ιούλιος 2005
Transcript of Πραγματικά Δικαιώματα προαίρεσης
- 1. : 003 20051. , , . , , , . , , , , , , . , . , , , .2. 2.1 , . ( ), , ( ), . , . , , , . . , . (CallOptions), , 1
2. (Put Options), . , . , , , . , . , . . ; ; , (Premium) , . , , . :2 3. , , : , , , , .2.2 , . ( o V ) , ( s V ), ( E ), . : V0 = max(Vs - E,0) . (Premium) , . , , . , , , , . , , . , ., , , , . ( ) . 3 4. , . . 1 t 2 t , 3 t . , , . , . . , . , , , . , . , , ( ), . , . , , ( ), , . . , (, ). .4 5. ( ) ( ), . .3. , , . , , DFC(Discount Cash Flow) . , (NPV). ( ) NPV. , , .5 6. , , , . ( , ), ( , ). , , . . . , , . DCF , . , , , , , . . , , ( DCF ). . (growthoption) . . , . (abandon option), , . . (put option) . , 6 7. ( ) . (delay option) (call option). , , , . (first mover). , , . , , , . . . , . , , , . ( p V ), : Vp = NPV + w, w . , , , .3.1 , , . , ; , , . , , 7 8. . , ( , ). , (R&D), () . , (options) (exercise option), . , , , , . , , . , , , . : NPV = S - X . , , ( NPVq ) (s t ).8 9. ( NPVq ), ( NPV = S - X ), , t ( ( ) /(1 )tf PV x = X + r ). , . , . , . :NPVq = S / PV(x) . NPVq , NPV , NPVq , NPV . (s t ), . , (s 2t ). ( t ), , . , , , , ( =( )/ ). , , . , (s t ), , . , , . NPVq, (S, X, f r t) , (t). . , , . . , , . , , , . , . . , 9 10. , . ( NPV < 0 ), ( 1 - ), ( NPV > 0 ), ( 2 - ). , , . , ( NPV > 0 ) , . , . . ( 3 ). , ( 4 ). , , ( NPV > 0 ), , , ., ( NPV < 0) , . , , , . , , ( 5 ). , . ( 6 ). , , . , , . (), ( ) ( ) ( ) . , , , . , , , ,10 11. , .3. 3.1 , 2002 ADSL , 300 . , 2011, 2007, ADSL VDSL, 500 . (, , ) (, , , ), , , . 1: , . , , , . (2007), , . , ( ). , , . . 11 , , 36 . , , , 10%, . ADSL. VDSL , 1 ( ADSL) 2( VDSL). , 11 , , .11 12. 1: 0 1 2 3 4 5 6 7 8 9 -11.000.000 -15.000.000 1.500.000 1.750.000 2.000.000 2.300.000 2.600.000 6.750.000 7.600.000 8.400.000 9.150.000 (10%) 1,0000 0,9091 0,8264 0,7513 0,6830 0,6209 0,5645 0,5132 0,4665 0,4241 -11.000.000 -9.313.500 1.363.650 1.446.200 1.502.600 1.570.900 1.614.340 3.810.375 3.900.320 3.918.600 3.880.515 -20.313.500 23.007.500 2.694.00012 13. 2: , , . S, 5 , x , 2 . t ( ), f r 5% ( ). , 10%. , 2 , 40%, . 3: , S x. , , . , , 2, 1 , ADSL. . , . (bell-shaped curve), , , 2007. 3, 2 , VDSL., , , , ADSL. 2 , , . , ( 1), . , , . . . 5 (S=9.307.470) x, 2 (x=15.000.000).13 14. 1 2: ADSL 0 1 2 3 4 5 6 7 8 9 -11.000.000 1.500.000 1.750.000 2.000.000 2.300.000 2.600.000 2.850.000 3.100.000 3.300.000 3.450.000 1,0000 0,9091 0,8264 0,7513 0,6830 0,6209 0,5645 0,5132 0,4665 0,4241 -11.000.000 1.363.650 1.446.200 1.502.600 1.570.900 1.614.340 1.608.825 1.590.920 1.539.450 1.463.145 -11.000.000 13.700.030 2.700.030 2 3: VDSL 0 1 2 3 4 5 6 7 8 9 -15.000.000 3.900.000 4.500.000 5.100.000 5.700.000 0,6209 0,5645 0,5132 0,4665 0,4241 -9.313.500 2.201.550 2.309.400 2.379.150 2.417.370 -9.313.500 9.307.470 -6.030 1 2 1: 0 1 2 3 4 5 6 7 8 9 -11.000.000 -15.000.000 1.500.000 1.750.000 2.000.000 2.300.000 2.600.000 6.750.000 7.600.000 8.400.000 9.150.000 1,0000 0,9091 0,8264 0,7513 0,6830 0,6209 0,5645 0,5132 0,4665 0,4241 -11.000.000 -9.313.500 1.363.650 1.446.200 1.502.600 1.570.900 1.614.340 3.810.375 3.900.320 3.918.600 3.880.515 -20.313.500 23.007.500 2.694.00014 15. 4: , 2 . , 2.700.030, 1, 2. 2.694.000 . 2, . 10%, , , . , , , 2. 5%. , , , 4 5, . , , . -2.445.030 ( -6.030) 255.000 ( 2.694.000). 4 5 . 5: , , . 5 (S=9.307.470) x, 2 (x=15.000.000). ( t = 5 ), ( f r ) 5% 2 , 40%, . 6: ( NPVq ) (s t ). NPVq = S / PV(x) , ( ) /(1 )t9.307.470 0,79NPVq = = f PV x = X + r . : 515.000.000 /(1,05) s t = 0,40 5 = 0,89 .15 16. 2 4: VDSL 5% 0 1 2 3 4 5 6 7 8 9 -15.000.000 3.900.000 4.500.000 5.100.000 5.700.000 0,6209 0,5645 0,5132 0,4665 0,4241 -9.313.500 (5%) -11.752.500 2.201.550 2.309.400 2.379.150 2.417.370 9.307.470 -11.752.500 -2.445.030 1 2 5: 5% 0 1 2 3 4 5 6 7 8 9 -11.000.000 -15.000.000 1.500.000 1.750.000 2.000.000 2.300.000 2.600.000 6.750.000 7.600.000 8.400.000 9.150.000 1,0000 0,9091 0,8264 0,7513 0,6830 0,6209 0,5645 0,5132 0,4665 0,4241 -11.000.000 -9.313.500 (5%) -11.000.000 -11.752.500 1.363.650 1.446.200 1.502.600 1.570.900 1.614.340 3.810.375 3.900.320 3.918.600 3.880.515 23.007.500 -22.752.500 255.00016 17. 7: , . NPVq = 0,79 s t = 0,89 . Black Scholes 27,7%. 0,277 9.307.470 , 2.578.169 . , 1 2 [NPV () = NPV (1) + (2)]. : 2.700.030 + 2.578.169 = 5.278.199 . 2.694.000 10%, 255.000 (5%). , , , . , , . .4. F. Black, and M. Scholes, (1973), The pricing of Options and Corporate Liabilities,Journal of Political Economy, 81 (May-June), pp. 637-659.Anivash K. Dixit and Robert S. Pindyck (1995), The Options approach to CapitalInvestments, Harvard Business Review, May-June, pp. 105-115.Luehrman, T. A. (1998), Investment Opportunities as Real Options: Getting Startedon the Numbers, Harvard Business Review, July-August, pp. 51-67Luehrman, T. A. (1998), Strategy as a Portfolio of Real Options, Harvard BusinessReview, September-October, pp. 89-9917
