Sequential Capital Budgeting as Real Options：The Case of a New DRAM Chipmaker in Taiwan
學年 91
學期 1
發表日期 2002-12-20
作品名稱 Sequential Capital Budgeting as Real Options：The Case of a New DRAM Chipmaker in Taiwan
作品名稱（其他語言）
著者 Duan, Chang-Wen; Lin, William T.; Lee, Cheng Few
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 財經情勢及衍生性產品研討會
會議地點 新北市, 臺灣
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.
關鍵字 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
語言 en
收錄於
會議性質 國內
校內研討會地點
研討會時間 20021220~20021220
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 財經情勢及衍生性產品研討會論文集，頁394-421
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