实物期权波动率及价值对电信投资的影响研究
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摘要
随着社会经济环境的日益复杂化和市场竞争的日趋白热化,投资项目的价值决策需要从风险应对和决策的灵活性方面做出全面的改善。传统的DCF方法是基于确定现金流的各种财务指标测算,不能支撑不确定条件下项目决策过程的弹性变化和柔性管理。期权定价模型是针对未来投资不确定性而提出的价值测算模型,从理论上能够解决当前DCF存在的评价缺陷,但由于最初的期权定价模型是基于金融期权提出,模型中的参数均可以在资本市场上从期权所对应的本股历史数据中提取出来。当将该模型映射到实物投资领域时,对模型中参数的提取就成为影响其在实物投资领域应用效果的重要问题。纵观国内外学者研究,实物期权在投资项目决策中的应用不在少数,但对模型中比较难以确定的参数(如波动率)的取值通常是采取经验判断、随机模拟等方式,使得模型计算结果不能充分反映决策能动性对项目价值的切实影响,因此也限制了实物期权方法在投资项目决策中的推广应用。
本论文采用一种全新的角度,突破传统的经验判断、随机模拟等选取波动率的方发,基于项目自身真实决策过程、影响因素及各种变化来提取波动率,并进行实物期权价值的计算。由于不同行业投资项目的决策机理和过程在相对精细的环节以及内部制约机制、影响机理等方面存在较大差异,因此,本论文选取电信投资项目作为实证研究对象,首先对电信业务投资全生命周期决策的整体流程和关键环节进行了梳理,分析了项目运行和决策过程中各种内外影响因素的作用机理,利用系统动力学模型,完整地绘制了以各阶段现金流价值为输出的电信业务投资项目决策系统。在此基础上,通过考虑决策系统中各种不确定性因素的变化,仿真出在各种变化情况下的项目决策过程和价值结果,通过这些价值的变动情况进行波动率的提取和实物期权价值计算。
本论文采用移动彩信业务的基础数据,根据该业务在实际发展中可能出现的不确定性因素和电信企业的实际判断和处理方式,模拟出不同的发展场景,对该投资决策系统进行了仿真,计算出移动彩信业务的波动率和期权价值。同时,在模型分析的延展性方面,本论文在敏感性分析方面也做了实证性尝试。
本论文所做的研究和创新可以概括为以下几个方面：
1、提出了基于项目自身决策过程的不确定影响和项目实际价值变化情况来提取波动率的思想,突破了传统的基于历史数据、经验判断的方式,使波动率取值与实物期权定价模型中的含义更加吻合；
2、以电信业务投资为对象,梳理了电信业务投资项目全生命周期决策流程,明确各流程阶段的关键环节、决策标准及内外影响因素及影响机理。并在此基础上构建了电信投资项目实物期权投资决策的系统动力学模型；
3、以某省移动公司彩信项目投资的实际过程和数据为基础,利用上述系统动力学模型进行了仿真,对模型进行了验证。并基于模型运行结果进行了彩信投资项目波动率的提取和实物期权价值的测算。通过对该项目实物期权价值和传统NPV价值比较的基础上,进一步验证了实物期权投资决策系统动力学模型对决策的改进和优化；
4、按照传统投资项目敏感性分析的思路,在上述实物期权系统动力学模型的基础上,进行了敏感性分析方法的设计和实证。同时,考虑到投资项目不确定表现的更加多样性,对模型本身设计的延展性分析也进行了分析和拓展。
As the social and economic environment become increasingly complex, value decision of an investment project needs to be improved from both the aspect of risk management and adaptability to the changes of the decision with the severe competition in the market. The traditional DCF method is unsupportable to flexible management of project decision with uncertainty, due to its limitations in calculating financial indicators based on the certain cash flow. The first option pricing model is developed based on financial pricing theory, parameters of which can be drew from the historical data of corresponding stocks in the capital market. The above model is against the uncertainty of future investment, which can fill the defect of DCF method theoretically. However, when refers to the real investment area, it is an important problem to determine the parameters of the model, which can influence the application effect in the field of real investment. There are a large number of domestic and international scholars who study the application of real option in investment decision. And the common methods they use to ascertain the parameters difficult to calculate (such as volatility) are experience judgment, stochastic simulation etc. However, there are a few limitations in the application and extension of real option in decision making of investment projects by ascertaining the parameters in these ways, because the calculation results cannot fully reflect the impact of decision making on the value of projects.
In this disertation, volatility is measured in a new method different from traditional experience judgment and stochastic simulation, which is from a new perspective based on a practical decision making process, influencing factors and variations of projects, then is the calculation on the value of real options. There are many differences in the mechanisms and processes of decision making of investment projects in varieties of industries, so a telecommunication investment project is chose as the empirical case in this paper. The life cycle process and key parts in the investment decision of a telecommunication service are carding first. Next, the influence factors and mechanisms in the process of project operation and decision making are analyzed from both the inside and outside aspects. Then, a complete telecommunication service investment decision making system, which chooses cash flow value of life cycle stages as outputs, is established based on a system dynamic model. On this basis, get project decision process and value considering the changes of various uncertain factors in the decision making system through simulation. Measuring volatility and the value of real options through changes of the values.
This paper has researched a decision making system based on basic data of MMS service, and simulated according to the possible uncertainty and enterprise's practical methods of identifying and dealing with different situations, to calculate volatility and option value of MMS service. This paper also has done an empirical research on sensitivity analysis as an extension of model analysis.
The main contributions and innovations of this dissertation are as follows:
1、Come up with the idea of measuring volatility based on uncertain factors and changes of real value of a project, which is different from the traditional methods on historical data basis and experience judgment, and make the value of volatility more identical with its meaning in real option pricing model;
2、Choose a telecommunication service as a study case, card the life cycle decision process of telecommunication service investment, and identify key steps, criteria, influence factors and the mechanism of each stage. And establish a system dynamics model on real option investment decision of a telecommunication investment project.
3、Simulate and validate the above model based on real data and investment process of a MMS project in a branch company of CMCC. And measure volatility and the real option value of MMS investment project according to the calculation results of the model. Through comparison of the real option value and traditional NPV value, further verify the improvement and optimization to investment decision of the system dynamics model on real option investment decision.
4、Design the sensitivity analysis method and perform a empirical research on basis of the above real option system dynamics model. Meanwhile, given to the variety of uncertain factors in investment projects, an extension analysis of the model designing is also developed.
本论文采用一种全新的角度,突破传统的经验判断、随机模拟等选取波动率的方发,基于项目自身真实决策过程、影响因素及各种变化来提取波动率,并进行实物期权价值的计算。由于不同行业投资项目的决策机理和过程在相对精细的环节以及内部制约机制、影响机理等方面存在较大差异,因此,本论文选取电信投资项目作为实证研究对象,首先对电信业务投资全生命周期决策的整体流程和关键环节进行了梳理,分析了项目运行和决策过程中各种内外影响因素的作用机理,利用系统动力学模型,完整地绘制了以各阶段现金流价值为输出的电信业务投资项目决策系统。在此基础上,通过考虑决策系统中各种不确定性因素的变化,仿真出在各种变化情况下的项目决策过程和价值结果,通过这些价值的变动情况进行波动率的提取和实物期权价值计算。
本论文采用移动彩信业务的基础数据,根据该业务在实际发展中可能出现的不确定性因素和电信企业的实际判断和处理方式,模拟出不同的发展场景,对该投资决策系统进行了仿真,计算出移动彩信业务的波动率和期权价值。同时,在模型分析的延展性方面,本论文在敏感性分析方面也做了实证性尝试。
本论文所做的研究和创新可以概括为以下几个方面：
1、提出了基于项目自身决策过程的不确定影响和项目实际价值变化情况来提取波动率的思想,突破了传统的基于历史数据、经验判断的方式,使波动率取值与实物期权定价模型中的含义更加吻合；
2、以电信业务投资为对象,梳理了电信业务投资项目全生命周期决策流程,明确各流程阶段的关键环节、决策标准及内外影响因素及影响机理。并在此基础上构建了电信投资项目实物期权投资决策的系统动力学模型；
3、以某省移动公司彩信项目投资的实际过程和数据为基础,利用上述系统动力学模型进行了仿真,对模型进行了验证。并基于模型运行结果进行了彩信投资项目波动率的提取和实物期权价值的测算。通过对该项目实物期权价值和传统NPV价值比较的基础上,进一步验证了实物期权投资决策系统动力学模型对决策的改进和优化；
4、按照传统投资项目敏感性分析的思路,在上述实物期权系统动力学模型的基础上,进行了敏感性分析方法的设计和实证。同时,考虑到投资项目不确定表现的更加多样性,对模型本身设计的延展性分析也进行了分析和拓展。
As the social and economic environment become increasingly complex, value decision of an investment project needs to be improved from both the aspect of risk management and adaptability to the changes of the decision with the severe competition in the market. The traditional DCF method is unsupportable to flexible management of project decision with uncertainty, due to its limitations in calculating financial indicators based on the certain cash flow. The first option pricing model is developed based on financial pricing theory, parameters of which can be drew from the historical data of corresponding stocks in the capital market. The above model is against the uncertainty of future investment, which can fill the defect of DCF method theoretically. However, when refers to the real investment area, it is an important problem to determine the parameters of the model, which can influence the application effect in the field of real investment. There are a large number of domestic and international scholars who study the application of real option in investment decision. And the common methods they use to ascertain the parameters difficult to calculate (such as volatility) are experience judgment, stochastic simulation etc. However, there are a few limitations in the application and extension of real option in decision making of investment projects by ascertaining the parameters in these ways, because the calculation results cannot fully reflect the impact of decision making on the value of projects.
In this disertation, volatility is measured in a new method different from traditional experience judgment and stochastic simulation, which is from a new perspective based on a practical decision making process, influencing factors and variations of projects, then is the calculation on the value of real options. There are many differences in the mechanisms and processes of decision making of investment projects in varieties of industries, so a telecommunication investment project is chose as the empirical case in this paper. The life cycle process and key parts in the investment decision of a telecommunication service are carding first. Next, the influence factors and mechanisms in the process of project operation and decision making are analyzed from both the inside and outside aspects. Then, a complete telecommunication service investment decision making system, which chooses cash flow value of life cycle stages as outputs, is established based on a system dynamic model. On this basis, get project decision process and value considering the changes of various uncertain factors in the decision making system through simulation. Measuring volatility and the value of real options through changes of the values.
This paper has researched a decision making system based on basic data of MMS service, and simulated according to the possible uncertainty and enterprise's practical methods of identifying and dealing with different situations, to calculate volatility and option value of MMS service. This paper also has done an empirical research on sensitivity analysis as an extension of model analysis.
The main contributions and innovations of this dissertation are as follows:
1、Come up with the idea of measuring volatility based on uncertain factors and changes of real value of a project, which is different from the traditional methods on historical data basis and experience judgment, and make the value of volatility more identical with its meaning in real option pricing model;
2、Choose a telecommunication service as a study case, card the life cycle decision process of telecommunication service investment, and identify key steps, criteria, influence factors and the mechanism of each stage. And establish a system dynamics model on real option investment decision of a telecommunication investment project.
3、Simulate and validate the above model based on real data and investment process of a MMS project in a branch company of CMCC. And measure volatility and the real option value of MMS investment project according to the calculation results of the model. Through comparison of the real option value and traditional NPV value, further verify the improvement and optimization to investment decision of the system dynamics model on real option investment decision.
4、Design the sensitivity analysis method and perform a empirical research on basis of the above real option system dynamics model. Meanwhile, given to the variety of uncertain factors in investment projects, an extension analysis of the model designing is also developed.
引文
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