系統識別號 U0026-0807201009115800
論文名稱(中文) 綠色實質選擇權
論文名稱(英文) Green Real Options
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 98
學期 2
出版年 99
研究生(中文) 蔡文靜
研究生(英文) Wen-Ching Tsai
學號 r8697104
學位類別 碩士
語文別 中文
論文頁數 68頁
口試委員 指導教授-陳嬿如
中文關鍵字 實質選擇權  成本效益  風險值 
英文關鍵字 Real Option  Cost-Benefit Analysis  VaR 
中文摘要 在現今環保意識逐漸抬頭的世界,投資決策不再以單純的財務績效為單一的決策標準。在投資計畫的發展過程中,所伴隨的環境成本及效益也應一併納入討論。故此篇論文將以某處理廠進行個案探討,著重於「環境成本效益」及「財務成本效益」兩方面進行評估探討。
英文摘要 In recent years, consideration of the economic, environmental, and the social impacts associated with the project plan is of increasing importance for decision-making in industry and government. This paper take both financial and economic benefit into consider when decision-maker evaluates the project value.
About economic benefit and cost, Cost-Benefit Analysis appraisals of policies and projects that have the deliberate aim of improving the provision of environmental services or actions that affect the environment as an indirect consequence. In this paper, we use the framework of CBA and method of Monte Carlo simulation to evaluate the economic benefit and cost.
About financial benefit and cost, the traditional approach to valuing a potential capital investment project is known as the “the present value” (NPV) approach, but the NPV of a project only considers the present value of the project’s expected future incremental cash flow, and NPV doesn’t consider the value of flexibility. This paper adopts Real Option to evaluate the project value. Real Option confirms that the decision-making flexibility will have some contribution when companies are in different scenarios.
論文目次 目錄
摘要 II
誌謝 IV
表目錄 VII
圖目錄 VIII
第1章 緒論 1
1.1 研究背景及動機 1
1.2 研究目的 2
1.3 研究貢獻 3
1.4 研究架構 4
第2章 文獻探討 5
2.1 成本效益分析 5
2.1.1 成本效益分析源起及發展 5
2.1.2 成本效益分析於台灣的發展及應用 6
2.1.3 成本效益分析內容及環境成本應用 6
2.2 實質選擇權 10
2.2.1 選擇權介紹 10
2.2.2 實質選擇權定義 12
2.2.3 實質選擇權類型 13
2.2.4 傳統資本預算與實質選擇權 15
2.3 風險值(VALUE AT RISK; VAR) 17
2.3.1 風險值介紹 17
2.3.2 風險值的評價方式 18
第3章 研究方法 20
3.1 成本效益分析 20
3.2 實質選擇權 21
3.2.1 模型建構與說明 21
3.2.2 選擇權價值評估 24
3.3 蒙地卡羅模擬 25
第4章 個案分析 27
4.1 背景分析 27
4.2 專案定義 27
4.3 可行性分析 28
4.4 經濟分析 31
4.5 財務分析 34
4.6 風險評估 44
4.6.1 敏感性分析-專案具有C1、C2及C3決策系統 44
4.6.2 敏感性分析-專案僅具C1決策 47
4.7 小結 50
第5章 結論與建議 52
5.1 研究結論 52
5.2 研究建議 54
參考文獻 55
英文參考文獻 55
中文參考文獻 62
參考文獻 英文參考文獻
1. Ajzen, I., T. C. Brown, and L. H. Rosenthal, 1996. Information Bias in Contingent Valuation: Effects of Personal Relevance, Quality of Information, and Motivational Orientation, Journal of Environmental Economics and Management 30, 43-57.
2. Alberini, A., M. Cropper, T.-T. Fu, A. Krupnick, J.-T. Liu, D. Shaw, and W. Harrington, 1997. Valuing health effects of air pollution in developing countries: The case of Taiwan Journal of Environmental Economics and Management 34, 107-126.
3. Amirnejad, H., S. Khalilian, M. H. Assareh, and M. Ahmadian, 2006. Estimating the existence value of north forests of Iran by using a contingent valuation method, Ecological Economics 58, 665-675.
4. Amram, M., and N. Kulatilaka, 1999. Real options: Managing strategic investment in an uncertain world(Harvard Business School Press).
5. Antikarov, V., and T. Copeland, 2001. Real options: A practitioner's guide, New York.
6. Asiedu, Y., 1998. Product life cycle cost analysis: state of the art review, International Journal of Production Research 36, 883-908.
7. Atkinson, G., and S. Mourato, 2008. Environmental Cost-Benefit Analysis(Annual Reviews Inc).
8. Bailey, W., 1991. Valuing agricultural firms : An examination of the contingent-claims approach to pricing real assets, Journal of Economic Dynamics and Control 15, 771-791.
9. Baldwin, C. Y., and R. S. Ruback, 1986. Inflation, Uncertainty, and Investment, The Journal of Finance 41, 657-668.
10. Bergstrom, J. C., J. R. Stoll, and A. Randall, 1989. Information Effects in Contingent Markets, American Journal of Agricultural Economics 71, 685-691.
11. Birol, E., K. Karousakis, and P. Koundouri, 2006. Using a choice experiment to account for preference heterogeneity in wetland attributes: The case of Cheimaditida wetland in Greece, Ecological Economics 60, 145-156.
12. Birol, E., K. Karousakis, and P. Koundouri, 2006. Using economic valuation techniques to inform water resources management: A survey and critical appraisal of available techniques and an application, Science of The Total Environment 365, 105-122.
13. Borghi, J., and S. Jan, 2008. Measuring the benefits of health promotion programmes: Application of the contingent valuation method, Health Policy 87, 235-248.
14. Bovea, M. D., and R. Vidal, 2004. Increasing product value by integrating environmental impact, costs and customer valuation, Resources, Conservation and Recycling 41, 133-145.
15. Brookshire, D. S., B. C. Ives, and W. D. Schulze, 1976. The valuation of aesthetic preferences, Journal of Environmental Economics and Management 3, 325-346.
16. Brookshire, D. S., A. Randall, and J. R. Stoll, 1980. Valuing Increments and Decrements in Natural Resource Service Flows, American Journal of Agricultural Economics 62, 478-488.
17. Brookshire, D. S., M. A. Thayer, J. Tschirhart, and W. D. Schulze, 1985. A Test of the Expected Utility Model: Evidence from Earthquake Risks, The Journal of Political Economy 93, 369-389.
18. Damodaran, A., 2000. THE PROMISE OF REAL OPTIONS, Journal of Applied Corporate Finance 13, 29-44.
19. Davis, R. K., 1963. Recreation planning as an economic problem, Natural Resource Journal 3, 239-249.
20. Desvousges, W. H., M. C. Naughton, and G. R. Parsons, 1992. Benefit transfer: Conceptual problems in estimating water quality benefits using existing studies, Journal Name: Water Resources Research; (United States); Journal Volume: 28:3, Medium: X; Size: Pages: 675-683.
21. Dijkgraaf, E., and H. R. J. Vollebergh, 2004. Burn or bury? A social cost comparison of final waste disposal methods, Ecological Economics 50, 233-247.
22. Dixit, A. K., and R. S. Pindyck, 1994. Investment under uncertainty(Princeton University Press).
23. Dixit, A. K., and R. S. Pindyck, 1995. The option approach to capital investment, Harvard Business Review 73, 105-115.
24. Dupuit, J., and A. J. É. Juvénal, 1844. De la mesure de l’utilité des travaux publics, Annales des ponts et chaussées.
25. Durairaj, S. K., S. K. Ong, A. Y. C. Nee, and R. B. H. Tan, 2002. Evaluation of Life Cycle Cost Analysis Methodologies, Corporate Environmental Strategy 9, 30-39.
26. Eur. Comm., 2008. Guide to Cost-Benefit Analysis of Investment Projects(Dir. Gen. Reg. Policy, Brussels).
27. Fleischer, A., and M. Sternberg, 2006. The economic impact of global climate change on Mediterranean rangeland ecosystems: A Space-for-Time approach, Ecological Economics 59, 287-295.
28. Freeman, A. M. I., 1979. Benefits of environmental improvement: theory and practice.
29. Freeman, A. M. I., 1993. The Measure of Environmental and Resource Values.(Resource for the Future., Washington D.C.).
30. Gürlük, S., 2006. The estimation of ecosystem services' value in the region of Misi Rural Development Project: Results from a contingent valuation survey, Forest Policy and Economics 9, 209-218.
31. Giuseppe, 2002. Value at Risk (VaR):the New Benchmark for Managing Market Risk, Journal of Financial Management and Analysis 15, 16-26.
32. Greenley, D. A., R. G. Walsh, and R. A. Young, 1982. Economic benefits of improved water quality: Public perceptions of option and preservation values. (Westview Press, Boulder).
33. Haab., T. C., and K. E. McConnell, 2003. Valuing environmental and natural resources: the econometrics of non-market valuation, Edward Elgar Publishing.
34. Hanley, N., 1988. Using contingent valuation to value environmental improvements, Applied Economics 20, 541-549.
35. Harrison, G., 2006. Experimental Evidence on Alternative Environmental Valuation Methods, Environmental and Resource Economics 34, 125-162.
36. Hayes, R., and D. Garvin, 1982. Managing as if tomorrow mattered, Harvard Business Review 60, 71-79.
37. Heijungs, R., J. B. Guinée, G. Huppes, R. M. Lankreijer, H. A. Udo de Haes, A. Wegener Sleeswijk, A. M. M. Ansems, P. G. Eggels, R. v. Duin, and H. P. d. Goede, 1992. Environmental life cycle assessment of products: guide and backgrounds (Part 1)(CML, Leiden).
38. Hicks, J. R., 1939. The Foundations of Welfare Economics, The Economic Journal 49, 696-712.
39. Hull, J. C., 1993. Options, Futures, and Other Derivatives, Prentice-Hall Press.
40. Hull, J. C., and A. D. White, 2000. Valuing Credit Default Swaps I: No Counterparty Default Risk, The Journal of Derivatives 8, 29-40.
41. Hurry, D., A. T. Miller, and E. H. Bowman, 1992. Calls on High-Technology: Japanese Exploration of Venture Capital Investments in the United States, Strategic Management Journal 13, 85-101.
42. Johnstone, C., and A. Markandya, 2006. Valuing river characteristics using combined site choice and participation travel cost models, Journal of Environmental Management 80, 237-247.
43. Jorion, P., 1997. Value at Risk: the new benchmark for controlling derivatives risk(McGraw-Hill, Chicago).
44. Jorion, P., 1997. Value at risk: the new benchmark for controlling market risk, McGraw-Hill New York.
45. Kaebernick, H., S. Kara, and M. Sun, 2003. Sustainable product development and manufacturing by considering environmental requirements, Robotics and Computer-Integrated Manufacturing 19, 461-468.
46. Kaldor, N., 1939. Welfare propositions of economics and interpersonal comparisons of utility, The Economic Journal 49, 549-552
47. Kensinger, J., 1987. Adding the value of active management into the capital budgeting equation, Midland Corporate Finance Journal 5, 31-42.
48. Kester, W., 1984. Today's options for tomorrow's growth, Harvard Business Review 62, 153-160.
49. Klammer, T., 1972. Empirical Evidence on the Adoption of Sophisticated Capital Budgeting Techniques., Journal of Business, 387-397.
50. Kortelainen, M., and T. Kuosmanen, 2007. Eco-efficiency analysis of consumer durables using absolute shadow prices, Journal of Productivity Analysis 28, 57-69.
51. Kotler, P., and K. Keller, 2003. Marketing management, Prentice Hall.
52. Kumaran, D. S., S. K. Ong, R. B. H. Tan, and A. Y. C. Nee, 2001. Environmental life cycle cost analysis of products Environmental Management and Health 12, 260-276.
53. Kuosmanen, T., N. Bijsterbosch, and R. Dellink, 2009. Environmental cost-benefit analysis of alternative timing strategies in greenhouse gas abatement: A data envelopment analysis approach, Ecological Economics 68, 1633-1642.
54. Kuosmanen, T., and M. Kortelainen, 2007. Valuing environmental factors in cost-benefit analysis using data envelopment analysis, Ecological Economics 62, 56-65.
55. L., Q., 1993. Emprical Testing of Real Option Pricing Models, Journal of Finance 48, 621-640.
56. Lancaster, K. J., 1966. A New Approach to Consumer Theory, Journal of Political Economy 74, 132.
57. Lee, C.-K., and J. W. Mjelde, 2007. Valuation of ecotourism resources using a contingent valuation method: The case of the Korean DMZ, Ecological Economics 63, 511-520.
58. Lee, J.-D., J.-B. Park, and T.-Y. Kim, 2002. Estimation of the shadow prices of pollutants with production/environment inefficiency taken into account: a nonparametric directional distance function approach, Journal of Environmental Management 64, 365-375.
59. Liek Yeo, G., and C. Allin Cornell, 2009. Building life-cycle cost analysis due to mainshock and aftershock occurrences, Structural Safety 31, 396-408.
60. Linsmeier, T. J., and N. D. Pearson, 1996. Value at Risk, Financial Analysis Journal, 47-61.
61. Luehrman, T. A., 1998. Investment Opportunities as Real Options: Getting Started on the Numbers, Harvard Business Review 76, 51-60.
62. Macauley, M., K. Palmer, and J.-S. Shih, 2003. Dealing with electronic waste: modeling the costs and environmental benefits of computer monitor disposal, Journal of Environmental Management 68, 13-22.
63. Marrison, C., 2002. The Fundamentals of Risk Measurment, The McGraw-Hill Inc.
64. McDonald, R. L., and D. R. Siegel, 1985. Investment and the Valuation of Firms When There is an Option to Shut Down, International Economic Review 26, 331-349.
65. Mitchell, R., and R. Carson, 1989. Using surveys to value public goods: the contingent valuation method(Resources for the Future, Washington D.C.).
66. Moel, A., and P. Tufano., 2000. When are Real Options Exercised? An Empirical Study of Mine Closings., Society for Financial Studies 15, 35-64.
67. Morgan, J., 1996. Measuring the risk in value at risk, Financial Analysis Journal.
68. Myers, S., and S. Maid, 1990. Abandonment value and project life, Advances in Futures and Options Reserch 1, 78-91.
69. Myers, S. C., 1977. Determinants of corporate borrowing, Journal of Financial Economics 5, 147-176.
70. O'Byrne, P. H., J. P. Nelson, and J. J. Seneca, 1985. Housing values, census estimates, disequilibrium, and the environmental cost of airport noise: A case study of Atlanta, Journal of Environmental Economics and Management 12, 169-178.
71. OECD, 1995. The economic appraisal of environmental projects and policies: a practical guide(Organization for Economic Cooperation and Development, Paris).
72. Parsons, G., 2003. A primer on nonmarket valuation- The Travel Method, Kluwer Academic Publishers.
73. Pindyck, R. S., 1988. Irreversible Investment, Capacity Choice, and the Value of the Firm, The American Economic Review 78, 969-985.
74. Powell, J. C., 1996. A Lifecycle Assessment and Economic Valuation of Recycling Journal of Environmental Planning and Management, 39, 97 - 112
75. Rabl, A., J. V. Spadaro, and A. Zoughaib, 2008. Environmental impacts and costs of solid waste: a comparison of landfill and incineration, Waste Management & Research 26, 147-162.
76. Randall, A., B. Ives, and C. Eastman, 1974. Bidding games for valuation of aesthetic environmental improvements Journal of Environmental Economics and Management 1, 132-149.
77. Rehdanz, K., 2006. Hedonic Pricing of Climate Change Impacts to Households in Great Britain, Climatic Change 74, 413-434.
78. Ridker, R. G., and J. A. Henning, 1967. The Determinants of Residential Property Values with Special Reference to Air Pollution, The Review of Economics and Statistics 49, 246-257.
79. Rosen, S., 1974. Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition, Journal of Political Economy 82, 34.
80. Rowe, R. D., R. C. D'Arge, and D. S. Brookshire, 1980. An experiment on the economic value of visibility, Journal of Environmental Economics and Management 7, 1-19.
81. Schall, L., G. Sunden, and W. Geilsbeek, 1978. Survey and Analysis of Capital Budgeting References, Journal of Finance, 281-297.
82. Senthil, K. D., S. K. Ong, A. Y. C. Nee, and R. B. H. Tan, 2003. A proposed tool to integrate environmental and economical assessments of products, Environmental Impact Assessment Review 23, 51-72.
83. Smith, V. K., and Y. Kaoru, 1990. Signals or Noise? Explaining the Variation in Recreation Benefit Estimates, American Journal of Agricultural Economics 72, 419-433.
84. Sunstein, Cass R., 2005. Cost‐Benefit Analysis and the Environment, Ethics 115, 351-385.
85. Tarricone, R., 2006. Cost-of-illness analysis: What room in health economics?, Health Policy 77, 51-63.
86. Taylor, L., 2003. A primer on nonmarket valuation- The hedonic method, Kluwer Academic Publishers.
87. Thomas, R. H., and F. B. Blakemore, 2007. Elements of a cost-benefit analysis for improving salmonid spawning habitat in the River wye, Journal of Environmental Management 82, 471-480.
88. Trice, A. H., and S. E. Wood, 1958. Measurement of Recreation Benefits, Land Economics 34, 195-207.
89. Trigeorgis, L., 1993. The nature of option interactions and the valuation of investments with multiple real options, Journal of Financial and quantitative analysis 28, 1-20.
90. Trigeorgis, L., and S. P. Mason, 1987. Valuing managerial flexibility, Midland Corporate Finance Journal 5, 14-21.
91. US Environ. Prot. Agency, 2000. Guidelines for Preparing Economic Analyses(US EPA, Washington, DC).
92. Venkatachalam, L., 2004. The contingent valuation method: a review, Environmental Impact Assessment Review 24, 89-124.
93. Weimer, D. L., and A. R. Vining, 1992. Welfare Economics as the Foundation for Public Policy Analysis: Incomplete and Flawed but Nevertheless Desirable., Journal of Socio-Economics, 25-37.
94. Welsch, H., 2006. Environment and happiness: Valuation of air pollution using life satisfaction data, Ecological Economics 58, 801-813.
95. Whitehead, J. C., and G. C. Blomquist, 1991. Measuring Contingent Values for Wetlands: Effects of Information About Related Environmental Goods, Water Resour. Res. 27, 2523-2531.
96. Willis, K. G., and G. D. Garrod, 1991. AN INDIVIDUAL TRAVEL-COST METHOD OF EVALUATING FOREST RECREATION, Journal of Agricultural Economics 42, 33-42.
97. Woodward, D. G., 1997. Life cycle costing--Theory, information acquisition and application, International Journal of Project Management 15, 335-344.
98. Wu, C. C., and N. B. Chang, 2003. Grey input-output analysis and its application for environmental cost allocation, European Journal of Operational Research 145, 175-201.
99. Zhang, H. C., T. C. Kuo, H. Lu, and S. H. Huang, 1997. Environmentally conscious design and manufacturing: A state-of-the-art survey, Journal of Manufacturing Systems 16, 352-371.

1. 周麗芳, 2000. 國民年金的成本效益分析, 社區發展季刊 91, 119-127.
2. 陳天賜, 1990. 台灣西部幹線多軌化成本效益分析, 台鐵資料月刊 264, 21-57.
3. 陳成興, 1980. 成本效益分析與公共投資決策評估, 主計月報 49, 7-10.
4. 郭秋勳, 1992. 各級補習學校學習成本效益分析及發展模式之研究(教育部社會教育司, 台北).
5. 曾子芬, 1992. 台灣稻米生產的成本效益分析, 國立中興大學經濟學研究所碩士論文.
6. 黃月桂, 1997. 全民健保預防保健服務之利用與成本效益分析(中央健康保險局, 台北).
7. 葉明亮, 1994. 毛豬運輸卡車之成本效益評估, 國立中興大學農業運輸學研究所碩士論文.
  • 同意授權校內瀏覽/列印電子全文服務,於2020-12-31起公開。

  • 如您有疑問,請聯絡圖書館