Оценка реальных опционов в инвестиционных решениях

Capital budgeting analysis term

Real options valuation, also often termed real options analysis, (ROV or ROA) applies option valuation techniques to capital budgeting decisions. A real option itself, is the right—but not the obligation—to undertake certain business initiatives, such as deferring, abandoning, expanding, staging, or contracting a capital investment project. For example, real options valuation could examine the opportunity to invest in the expansion of a firm's factory and the alternative option to sell the factory.

Real options are generally distinguished from conventional financial options in that they are not typically traded as securities, and do not usually involve decisions on an underlying asset that is traded as a financial security. A further distinction is that option holders here, i. e. management, can directly influence the value of the option's underlying project; whereas this is not a consideration as regards the underlying security of a financial option. Moreover, management cannot measure uncertainty in terms of volatility, and must instead rely on their perceptions of uncertainty. Unlike financial options, management also have to create or discover real options, and such creation and discovery process comprises an entrepreneurial or business task. Real options are most valuable when uncertainty is high; management has significant flexibility to change the course of the project in a favorable direction and is willing to exercise the options. Real options analysis, as a discipline, extends from its application in corporate finance, to decision making under uncertainty in general, adapting the techniques developed for financial options to "real life" decisions. For example, R&D managers can use Real Options Valuation to help them deal with various uncertainties in making decisions about the allocation of resources among R&D projects. Non business examples might be evaluating the cost of cryptocurrency mining machines, or the decision to join the work force, or rather, to forgo several years of income to attend graduate school. It, thus, forces decision makers to be explicit about the assumptions underlying their projections, and for this reason ROV is increasingly employed as a tool in business strategy formulation. This extension of real options to real world projects often requires customized decision support systems, because otherwise the complex compound real options will become too intractable to handle.

Where the project's scope is uncertain, flexibility as to the size of the relevant facilities is valuable, and constitutes optionality. Option to expand: Here the project is built with capacity in excess of the expected level of output so that it can produce at higher rates if needed. Management then has the option (but not the obligation) to expand – i. e. exercise the option – should conditions turn out to be favourable. A project with the option to expand will cost more to establish, the excess being the option premium, but is worth more than the same without the possibility of expansion. This is equivalent to a call option. Option to contract : The project is engineered such that output can be contracted in future should conditions turn out to be unfavourable. Forgoing these future expenditures constitutes option exercise. This is the equivalent to a put option, and again, the excess upfront expenditure is the option premium. Option to expand or contract: Here the project is designed such that its operation can be dynamically turned on and off. Management may shut down part or all of the operation when conditions are unfavorable (a put option), and may restart operations when conditions improve (a call option). A flexible manufacturing system (FMS) is a good example of this type of option. This option is also known as a Switching option.

Where there is uncertainty as to when, and how, business or other conditions will eventuate, flexibility as to the timing of the relevant project(s) is valuable, and constitutes optionality. Growth options: perhaps the most generic in this category – these entail the call option to exercise only those projects that appear to be profitable at the time of initiation. Initiation or deferment options: Here management has flexibility as to when to start a project. For example, in natural resource exploration a firm can delay mining a deposit until market conditions are favorable. This constitutes an American styled call option. Delay option with a product patent: A firm with a patent right on a product has a right to develop and market the product exclusively until the expiration of the patent. The firm will market and develop the product only if the present value of the expected cash flows from the product sales exceeds the cost of development. If this does not occur, the firm can shelve the patent and not incur any further costs. Option to abandon: Management may have the option to cease a project during its life, and, possibly, to realise its salvage value. Here, when the present value of the remaining cash flows falls below the liquidation value, the asset may be sold, and this act is effectively the exercising of a put option. This option is also known as a Termination option. Abandonment options are American styled. Sequencing options: This option is related to the initiation option above, although entails flexibility as to the timing of more than one inter related projects: the analysis here is as to whether it is advantageous to implement these sequentially or in parallel. Here, observing the outcomes relating to the first project, the firm can resolve some of the uncertainty relating to the venture overall. Once resolved, management has the option to proceed or not with the development of the other projects. If taken in parallel, management would have already spent the resources and the value of the option not to spend them is lost. The sequencing of projects is an important issue in corporate strategy. Related here is also the notion of Intraproject vs. Interproject options.

Management may have flexibility relating to the product produced and /or the process used in manufacture. As in the preceding cases, this flexibility increases the value of the project, corresponding in turn, to the "premium" paid for the real option. Output mix options: The option to produce different outputs from the same facility is known as an output mix option or product flexibility. These options are particularly valuable in industries where demand is volatile or where quantities demanded in total for a particular good are typically low, and management would wish to change to a different product quickly if required. Input mix options: An input mix option – process flexibility – allows management to use different inputs to produce the same output as appropriate. For example, a farmer will value the option to switch between various feed sources, preferring to use the cheapest acceptable alternative. An electric utility, for example, may have the option to switch between various fuel sources to produce electricity, and therefore a flexible plant, although more expensive may actually be more valuable. Operating scale options: Management may have the option to change the output rate per unit of time or to change the total length of production run time, for example in response to market conditions. These options are also known as Intensity options.

Although there is much similarity between the modelling of real options and financial options, ROV is distinguished from the latter, in that it takes into account uncertainty about the future evolution of the parameters that determine the value of the project, coupled with management's ability to respond to the evolution of these parameters. It is the combined effect of these that makes ROV technically more challenging than its alternatives. cquote|First, you must figure out the full range of possible values for the underlying asset This involves estimating what the asset's value would be if it existed today and forecasting to see the full set of possible future values [These] calculations provide you with numbers for all the possible future values of the option at the various points where a decision is needed on whether to continue with the project

The relevance of Real options, even as a thought framework, may be limited due to market, organizational and / or technical considerations. When the framework is employed, therefore, the analyst must first ensure that ROV is relevant to the project in question. These considerations are as follows.

Whereas business managers have been making capital investment decisions for centuries, the term "real option" is relatively new, and was coined by Professor Stewart Myers of the MIT Sloan School of Management in 1977. In 1930, Irving Fisher wrote explicitly of the "options" available to a business owner (The Theory of Interest, II. VIII). The description of such opportunities as "real options", however, followed on the development of analytical techniques for financial options, such as Black–Scholes in 1973. As such, the term "real option" is closely tied to these option methods. Real options are today an active field of academic research. Professor Lenos Trigeorgis has been a leading name for many years, publishing several influential books and academic articles. Other pioneering academics in the field include Professors Michael Brennan, Eduardo Schwartz, Avinash Dixit and Robert Pindyck (the latter two, authoring the pioneering text in the discipline). An academic conference on real options is organized yearly (Annual International Conference on Real Options). Amongst others, the concept was "popularized" by Michael J. Mauboussin, then chief U. S. investment strategist for Credit Suisse First Boston. He uses real options to explain the gap between how the stock market prices some businesses and the "intrinsic value" for those businesses. Trigeorgis also has broadened exposure to real options through layman articles in publications such as The Wall Street Journal. This popularization is such that ROV is now a standard offering in postgraduate finance degrees, and often, even in MBA curricula at many Business Schools. Recently, real options have been employed in business strategy, both for valuation purposes and as a conceptual framework. in two HBR articles: "In financial terms, a business strategy is much more like a series of options, than a series of static cash flows". Investment opportunities are plotted in an "option space" with dimensions "volatility" & value to cost ("NPVq"). Luehrman also co authored with William Teichner a Harvard Business School case study, Arundel Partners: The Sequel Project, in 1992, which may have been the first business school case study to teach ROV. Reflecting the "mainstreaming" of ROV, Professor Robert C. Merton discussed the essential points of Arundel in his Nobel Prize Lecture in 1997. Arundel involves a group of investors that is considering acquiring the sequel rights to a portfolio of yet to be released feature films. In particular, the investors must determine the value of the sequel rights before any of the first films are produced. Here, the investors face two main choices. They can produce an original movie and sequel at the same time or they can wait to decide on a sequel after the original film is released. The second approach, he states, provides the option not to make a sequel in the event the original movie is not successful. This real option has economic worth and can be valued monetarily using an option pricing model. See Option (filmmaking).

ROV Spreadsheet Models, Prof. Aswath Damodaran, Stern School of Business
Real Options Calculator, Prof. Steven T. Hackman, Georgia Institute of Technology