Research On Features And Valuation Of Managerial Options Under Uncertainty Of Commodity Price

The uncertainty of commodity price and so on is the basic characteristic of the environment in which enterprises operate in a market economy, and in the face of an uncertain operating environment, enterprises have some managerial options within the managerial process. The research presented in this dissertation focused on two basic themes of real option theory: uncertainty and managerial options. The research used a range of analytic tools, combined an empirical test with a normative test, and integrated qualitative analysis with quantitative analysis. It focused on the theoretical and practical values of research results.The research summarized the current real option literature systematically, and put forward an analytical framework which comprised two basic themes and four aspects. The two basic themes are uncertainties of project and managerial options, and the four aspects are uncertainties of project, the classification and recognition of managerial options, the features and characteristics of managerial options, the modeling and valuation of managerial options. Based on the above-mentioned analytical framework, the research is organized and the questions are studied.For the aspect of uncertainties of project, the research focused on the issue of commodity price uncertainty. The research analyzed the theoretical and empirical one-factor, two-factor and three-factor models for a homogeneous commodity. It discussed the hedonic price model for a heterogeneous commodity. Based on hedonic model, the research set out the way to measure the quality change effect of heterogeneous commodity price, and analyzed quality change effect of Chinese real estate price. It analyzed the price processes of white wheat, natural rubber, copper and aluminum with relevant data and one-factor models based on the AR (1) process which included GBM, ABM, MRP, MRP with seasonal effect, MRP with quadratic trend. It discussed the seasonal effects of white wheat and natural rubber, and analyzed the quadratic trends of white wheat, natural rubber, copper and aluminum. It gets the following conclusions. The price processes of different commodities have different properties. Some have significant mean-reversion property, and some have significant unit root property. The same price models have different forecasting efficiency for different commodities, and different price forecasting models should be selected for different commodities. So specifying the same model for different commodities is unrealistic.For the aspect of classification and recognition of managerial options, the research defined the firm's financing capability as an option, and highlighted the concept of the financing option. It analyzed the various financing options of Chinese firms, and studied the cases of Kelon and Delong and their financing options. The discussion suggests that in the sales process of state-owned enterprises and assets, the value of financing options should not be ignored. The enterprise should establish coexisting, multi-winning relations with banks, suppliers and retailers, and keep its ability to secure the necessary financing in order to cope with the fluctuations of cash flow.For the features and characteristics of managerial options, the research discussed the fact that managerial options may have an enterprise specific or industry specific nature. The managerial options are not only correlated with an enterprise's ability to discover and manage options. The value function of the underlying assets and the manner of exercising managerial options also have evident industry-specific features. The research discussed the reserve valuation, exploration option, growth option, and exit option in natural resource investments. It analyzed the timing option in forestry investments. The products and production systems of different industries have different features, and each enterprise has many managerial options, so specifying the same valuation model for different industries and options is unrealistic. The research studied the options of real estate development. The managerial options of real estate sector have unique characteristics under Chinese enterprises'operating environment. The research analyzed the financing option and abandonment option for Chinese development project, and studied a case of managerial options for real estate development. It analyzed the impacts of loan interest rate, the conditions and supervision of bank loans, the behaviors of developers'financing through builders and buyers, the fame and financial strength of developers, default costs, the bargaining power of developers, and optimal exercise of options on the value of financing option and abandonment option. The results indicate that the financing option and abandonment option are important for the project value in a real estate development, and they are main sources for the Chinese developers'excessive profits. The enforcement of law influences the value of financing option and abandonment option greatly. The government should take measures to perfect law and curtail developers of gaining unreasonable value of financing option and abandonment option.For the aspect of modeling and valuation of managerial options, the research focused on binomial model. The research derived the parametric relationship between the binomial model and the GBM, and measured the linear relationship between the driver and the project value. It valued the strategic investment and new medicine R&D and their nested options with the binomial model. It analyzed the factors that influence the value of options, such as cost volatility, the relationship between project value and project gross profit, the sub-optimal exercise, the management policies of options, and the conservatism principle in the business administration. It suggests that through reasonable modeling, the binomial model may be a helpful tool for managing the value of enterprises'options.