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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
口試委員-巢志成
口試委員-陳政芳
口試委員-林軒竹
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 
學科別分類
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。
在環境成本效益方面,由於市場上並無標準定價,在成本估算上,將利用過往的環保署稽核罰鍰金額做為投資計畫所隱含的環境成本,採用蒙地卡羅進行環境成本模擬估算。此概念為因投資計畫未採取妥善環保規劃情況下,未來所產生的或有損失,以此損失做為環境成本估算。
在財務成本效益評估方面,傳統資本預算評估方法為計算未來現金流量是否能夠大於今日的投資成本。此評估方法缺少彈性及忽略不確定性,導致價值低估的缺點。故此篇論文將採用實質選擇權分析,考慮在計畫的期間內,決策者具有可採取延期、擴充、縮小或放棄等行動的權利。而這些權利的價值往往不被傳統資本預算評估法所考量。利用實質選擇權分析,我們可以加入這些選擇權的價值至原投資計畫,算出計畫的真正價值。
在綜合上述「環境成本效益」及「財務成本效益」評估後,考慮因投資計畫所帶來的財務效益及因投資計畫所帶來的環境影響,進而做出最適投資決策。
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
ABSTRACT III
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
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