Real options with synergies : static versus dynamic policies
Real options with synergies : static versus dynamic policies
复制标题
具有协同效应的实物期权：静态政策与动态政策
DOI：
10.1057/jors.2011.5
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发表时间：
2012
影响因子：
3.6
通讯作者：
Michi NISHIHARA
中科院分区：
文献类型：
--
作者：
Nishide;K. and Yagi;K.;梅谷俊治;Michi NISHIHARA
我们开发了一个模型来确定公司是否应该单独或同时行使两个实物期权。同时执行这两个选项具有节约成本的协同作用，而单独执行每个选项则受益于项目的灵活性。这种权衡决定了最佳的锻炼策略。对多实物期权的静态管理和动态管理进行了比较。静态管理下的企业决定了实物期权的行权类型；另一方面，动态管理下的企业在行使权时做出决策。我们发现，在两种管理方式下，高度相关的项目增加了期权价值，因为企业更有可能享受联合投资的协同收益。我们还强调了动态管理相对于弱相关项目的静态管理的优势。
We develop a model for determining whether a firm should exercise two real options individually or simultaneously. The simultaneous exercise of both options has synergy of cost savings, while the separate exercise of each option benefits from project flexibility. This trade-off determines the optimal exercise policy. We compare static and dynamic management of multiple real options. A firm under static management determines the type of exercise of real optionsex ante; on the other hand, a firm under dynamic management makes the decision at the time of exercise. We show that highly correlated projects increase the option values under both styles of management because a firm is more likely to enjoy the synergy gains of joint investment. We also highlight the advantage of dynamic management over static management for weakly correlated projects.