Project Valuation's Real Options Theory And Model Research

This thesis firstly reviews the state quo of the real options theory, then systematic introduces and analyses the real options theory based on the analysis and valuation of the traditional valuation methods, including using the real options theory to reanalysis the projects' valuation, and generalizing the condition, step and framework of real options applying in project valuation. Second, this thesis establishes a real options model of project valuation and gives the numerical solution of the projects' value and investment options' value. Further more, it also analyses the effect of the factors' variability on the model and gives the numerical optimal rule of investment. Lastly, this article expands the above model according to practice situation, which makes it has broader application areas, and gives the solutions and numerical optimal rule of the expanded model.Through above research, this thesis has obtained three main achievement: 1) it incorporated the analysis framework of real options supported by Copeland and Antikarov into the model pricing step of the one supported by Amram 和 Kulatilaka. 2) Through the model analysis, we get the conclusion that the increase of uncertainty will increase not only the value of investment options but also the critical value V*,that is the cost of investment. So we can't consider that the higher value of options the more possibility of the investment.3) Through the factor β1/(β1 -1), we connected the traditional theory and Tobin q with the real options theory and give the quantitycorrection of valuation rule as πl≥π* = β/(β-1)(ρ-α)I>(ρ-α)I and q* =β1/(β1-1)>1.Generally, the study of this thesis has the theoretical and practical significance. It provides the foundation for applying the real options theory in our country.