基于实物期权法的移动通信行业3G项目评价应用研究
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摘要
随着我国移动通信市场的迅猛发展,电信技术的更新换代,电信业已经成为国民经济的基础产业、先导产业和战略产业。移动通信业已成为电信业发展的主要力量。目前,全国的2G通信网络服务已不能满足我国通讯市场的需求,因此,在这种情形下,3G移动通信网络服务就呼之欲出了。目前,3G移动通信技术已基本成熟,在全球获得了大规模商用。然而,3G项目的价值有多少,3G项目的未来发展,市场规模,用户数量,总收入情况到底怎样等等不确定因素也是不可避免的实质性课题。因此,怎样来评价3G项目的价值,怎样来看待3G项目的不确定性就是当下要研究解决的问题了。针对这一问题,本文将尝试把实物期权法应用到3G项目的评价中,使3G项目能得到科学的评价。
本文分三部分对实物期权的相关文献进行了综述,第一部分主要介绍实物期权的一些基本概念和理论;第二部分阐述了国内外实物期权定价模型的研究现状;第三部分笔者对国内外实物期权在实际应用研究方面的文献进行了归纳和分类。随后笔者根据3G项目的特点分析了其实物期权特征,并指出了3G项目中可能包含的期权种类,在理论上证明了将实物期权法应用到3G项目评价中的可行性。在此基础上笔者构建了基于实物期权法的3G项目评价框架,具体步骤分别是:3G项目中实物期权的类别,选择或构建合适的实物期权定价模型,实物期权定价模型中相关参数的确定,3G项目价值的计算。其中在确定定价模型的相关参数这一步骤,笔者深入探讨了用蒙特卡洛模拟确定波动率的方法。
在实证研究部分,本文用前面构建的基于实物期权法的3G项目评价框架对一个具体项目(中国电信3G项目)进行了评价,识别了该项目中存在的扩张型期权,并计算得到了包含这个期权的项目价值,实证研究结果显示该评价框架是可行、有效的。另外笔者也运用传统的净现值法对项目进行了评价,并将基于实物期权法的实证研究结果和传统评价法的结果结合起来,对3G项目的价值进行全面的评价。通过分析发现实物期权法在评价具有较大不确定性的电信行业3G项目时能较好的弥补传统评价方法存在的不足。最后笔者得出了结论和研究的创新之处和研究展望。
With the development and updating of telecommunication technologies. The telecommunication industry has become the base and strategic industry. The mobile telecommunication has become the main power in the development of the telecom industry. At present, the nation’s 2G services is unable to meet the demand of the telecom market in this country. As the result, the 3G services was been advised. At 2003, Japan and Europe had used the 3G technology into the market and occupied the foreign market. Now, the 3G technology was been used all over the world. Lots of telecom company entered into the 3G services through upgrade the 2G network or construct the 3G network themselves. But what is the exact value of the 3G project and situation in the future , how many consumers the 3G project will have, and the size of the market are still unknown. So, how to estimate the value of the 3G project is the question which we need to study at present. This thesis will try to use real option to evaluate the 3G project, and we hope it will works scientifically. This paper represents a new method by applying real option to the evaluation and come up with a more scientific evaluation which takes flexibility and growth value into consideration.
This paper summarize literatures relating real option into three parts. The first part mainly introduces some basic concepts and theories. The second part introduces the real option research status at home and abroad. The third part sum up and classify literatures of real option in application, based on which give this paper's research main idea.
Then we analyze the feature of the real option in the 3G Project, we point out the possible types of real option, and test the feasibility of put real option into the evaluation of 3G Project. Based On the theoretical analysis we construct evaluation frame. Specific steps are as follows: The judgement of 3G Project; The recognition of the types of real option; The recognition of uncertain factors; The selection or construct of proper real option pricing model; The calculation of relating parameters; The calculation of the final value of the project. In the part of calculating relating parameters, we go deep into the method of Monte Carlo Simulation to estimate volatility.
In the part of case study, we apply the frame, which is mentioned above, to evaluate a specific 3G Project. Recognize the expand option and growth option in it and calculate the project value including this two options. The result shows that the evaluation frame is both feasible and effective. Besides, we compare our result with the results of two traditional evaluation methods, and find out that the real option method has advantage in evaluating project with more uncertainty, which is just a shortcoming of the traditional ones. Finally we get the conclusion of this thesis and the direction of research in the future.
本文分三部分对实物期权的相关文献进行了综述,第一部分主要介绍实物期权的一些基本概念和理论;第二部分阐述了国内外实物期权定价模型的研究现状;第三部分笔者对国内外实物期权在实际应用研究方面的文献进行了归纳和分类。随后笔者根据3G项目的特点分析了其实物期权特征,并指出了3G项目中可能包含的期权种类,在理论上证明了将实物期权法应用到3G项目评价中的可行性。在此基础上笔者构建了基于实物期权法的3G项目评价框架,具体步骤分别是:3G项目中实物期权的类别,选择或构建合适的实物期权定价模型,实物期权定价模型中相关参数的确定,3G项目价值的计算。其中在确定定价模型的相关参数这一步骤,笔者深入探讨了用蒙特卡洛模拟确定波动率的方法。
在实证研究部分,本文用前面构建的基于实物期权法的3G项目评价框架对一个具体项目(中国电信3G项目)进行了评价,识别了该项目中存在的扩张型期权,并计算得到了包含这个期权的项目价值,实证研究结果显示该评价框架是可行、有效的。另外笔者也运用传统的净现值法对项目进行了评价,并将基于实物期权法的实证研究结果和传统评价法的结果结合起来,对3G项目的价值进行全面的评价。通过分析发现实物期权法在评价具有较大不确定性的电信行业3G项目时能较好的弥补传统评价方法存在的不足。最后笔者得出了结论和研究的创新之处和研究展望。
With the development and updating of telecommunication technologies. The telecommunication industry has become the base and strategic industry. The mobile telecommunication has become the main power in the development of the telecom industry. At present, the nation’s 2G services is unable to meet the demand of the telecom market in this country. As the result, the 3G services was been advised. At 2003, Japan and Europe had used the 3G technology into the market and occupied the foreign market. Now, the 3G technology was been used all over the world. Lots of telecom company entered into the 3G services through upgrade the 2G network or construct the 3G network themselves. But what is the exact value of the 3G project and situation in the future , how many consumers the 3G project will have, and the size of the market are still unknown. So, how to estimate the value of the 3G project is the question which we need to study at present. This thesis will try to use real option to evaluate the 3G project, and we hope it will works scientifically. This paper represents a new method by applying real option to the evaluation and come up with a more scientific evaluation which takes flexibility and growth value into consideration.
This paper summarize literatures relating real option into three parts. The first part mainly introduces some basic concepts and theories. The second part introduces the real option research status at home and abroad. The third part sum up and classify literatures of real option in application, based on which give this paper's research main idea.
Then we analyze the feature of the real option in the 3G Project, we point out the possible types of real option, and test the feasibility of put real option into the evaluation of 3G Project. Based On the theoretical analysis we construct evaluation frame. Specific steps are as follows: The judgement of 3G Project; The recognition of the types of real option; The recognition of uncertain factors; The selection or construct of proper real option pricing model; The calculation of relating parameters; The calculation of the final value of the project. In the part of calculating relating parameters, we go deep into the method of Monte Carlo Simulation to estimate volatility.
In the part of case study, we apply the frame, which is mentioned above, to evaluate a specific 3G Project. Recognize the expand option and growth option in it and calculate the project value including this two options. The result shows that the evaluation frame is both feasible and effective. Besides, we compare our result with the results of two traditional evaluation methods, and find out that the real option method has advantage in evaluating project with more uncertainty, which is just a shortcoming of the traditional ones. Finally we get the conclusion of this thesis and the direction of research in the future.
引文
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[2] Myers S C.Determinants of corporate borrowing[J].Journal of Financial Economics,1977,10(l):91-119.
[3] Myers S C. Finance theory and financial strategy[J].Midland Corporate Finance Journal,1987,5(l):6-13.
[4] Kester W C. Today’s options for tomorrow’s growth[J].Harvard Business Review,1984,62(2):153-160.
[5] Black F,Scholes M.The pricing of options and corporate liabilities[J].Journal of Political Economy,1973,81(3):637-59.
[6] Merton R C.On the Pricing of contingent claims and the Modigliani-Miller theorem[J].Journal of Financial Economics,1977,5(2):241-9.
[7] McDonald R and Siegel D.The value of waiting to invest[J].Quarterly Journal of Economics,1986,101(4):707-727.
[8] Dixit A K and Pindyck R S.Investment under uncertainty[M].Princeton,NJ: Princeton University Press,1994.
[9] Trigeorgis L.Real options-managerial flexibility and strategy in resource allocation[M]. Cambridge,MA:MIT Press,1996.
[10] Trigeorgis L.The nature of option interactions and the valuation of investments with multiple real options[J].Journal of Financial and Quantitative Analysis,1993,28(1):1-20.
[11] Trigeorgis L and Mason S P.Valuing managerial flexibility,Midland corporate[J].Financial Journal,1987,5(l):14-21.
[12] Pindyck R S.Irreversible investment,capacity choice,and the value of the Firm[J].The American Economic Review,1988,78(5):969-985.
[13] Trigeorgis L.A conceptual options framework for capital budgeting[J]. Advances in Futures and Options Research,1988,(3):145-167.
[14] Tanguturi, Venkata Praveen.Migration to 3G wireless broadband internet and real options: The case of an operator in India[J],Telecommunications Policy, 2006,(8): 400-419
[15] Consiglio, Andrea, Saunders, David. Asset and liability management for insurance products with minimum guarantees:The UK case.Journal of Banking & Finance[J], 2006,30(2):645-667
[16] Pries, Fred, ?stebro, Thomas. Economic Analysis of R&D Projects: Real Option versus NPVValuation Revisited[R].Working Papers, No.1-11, University of Toronto Rotman School of Management, 2003
[17] Harmantzis, Fotios C.,Tanguturi,Venkata Praveen:Investment decisions in the wireless industry applying real options.Telecommunications Policy; 2007, 31(3), 107-123
[18] d’Halluin, Y., Forsyth, P.A.,Vetzal,K.R. Wireless network capacity management: A real options approach.[J] European Journal of Operational Research,2007, 176(1) :584-609
[19] Brerman MJ,Schwartz E S.Evaluating natural resource investments[J].Journal of Business,1985,58(2):135-157.
[20] McDonald R and Siegel D.The value of waiting to invest[J].Quarterly Journal of Economics,1986,101(4):707-727.
[21] Yeo K T and Qiu F. The value of management flexibility a real option approach to investment evaluation[J].International Journal of Project Management,2003,21(4):243-250.
[22] 信息产业部.2006 年通信业发展统计公报.http://www.mii.gov.cn/art/2006/02/09/art_ 169_ 6243.htm1
[23] 谢剑强.项目投资决策中实物期权方法的应用研究[D].硕士学位论文.华南理工大学,2003
[24] 冯邦彦,徐枫.实物期权理论及其应用评价[J].经济学动态,2003 ,(10): 74-77
[25] 陈育平.2005 年中国通信市场环境.信息网络,2005,(8): 1-3
[26] 王莉莹.基于实物期权理论的重大投资项目决策方法研究[D].硕士学位论文.大连理工大学,2005
[27] “十五”期间我国电话用户总数发展情况.http://market.cttl.com.cn/cmark show.php?id=9038, 2006-03-15
[28] 吕廷杰.2005 年我国电信业发展状况点评.电信技术,2006, (3): 42-43
[29] 李长青.不确定条件下专用实物资产投资估价的理论与实施方法研究[D].博士学位论文.华中科技大学.2005
[30] 元彦梅.中国移动通信业发展的统计分析与策略研究[D].硕士学位论文.东北大学
[31] 乔纳森.芒.邱亚丽.译.实物期权分析[M].北京:中国人民大学出版社,2006
[32] 陈凯 . 中国 3G 的未来 .http: //www. c 114.net/hottopic/ZZHtml_ 2005/H2005122015 32263916-1. shtml,2005-12-20
[33] 齐安甜,张维.基于成长期权的企业价值评估模型[J].管理工程学报,2003,(1):65-70
[34] 韩红冬.基于实物期权的企业 R&D 项目评估方法研究[D].硕士学位论文.东北大学,2003
[35] 徐枫.风险投资决策评价中的实物期权理论方法研究[D].博士学位论文,暨南大学,2003
[36] 郁洪良.金融期权与实物期权一比较和应用[M].上海:上海财经大学出版社,2003
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