BOT案附屬事業放棄選擇權的價值The Value of Abandon Option on the Ancillary Business of a BOT Project

國內外對BOT實質選擇權之研究，大多集中於BOT主體事業所隱含之各種選擇權價值，鮮少論及BOT附屬事業之選擇權價值。本文討論附屬事業的放棄選擇權價值，發現如果忽略主體事業與附屬事業之間的關係，會高估附屬事業放棄選擇權的價值。我們以台灣高鐵為例，發現當不考慮主體事業對附屬事業有影響時，附屬事業的放棄選擇權價值佔原始投資的2.32%。當考慮主體事業與附屬事業間具有關聯時，附屬事業的放棄選擇權僅佔原始投資的0.11%。因此在衡量附屬事業的放棄選擇權價值時必須考慮主體事業與附屬事業之間的關係。我們也驗證主體事業的放棄與否是否會影響附屬事業的放棄決策，透過使用單因子變異數分析及Tukey’s Multiple Comparison Method之統計方法，我們證明BOT主體事業的放棄確實會影響附屬事業放棄選擇權的執行。本文的研究結果有助於了解附屬事業放棄選擇權對整個BOT價值的影響。
關鍵詞：實質選擇權分析、BOT附屬事業、放棄選擇權、蒙地卡羅模擬法

This is the first paper discussing the real options involved in an ancillary business of an investment. In this paper, we price the abandonment option embodied in the ancillary business considering there is a link between the main business revenue and the ancillary business revenue.Without considering the relationship between the main business and the ancillary business, we will overestimate the value of the abandonment option of the ancillary business. We use the Taiwan High Speed Rail BOT project as an example to study the abandonment option value of the ancillary business. When we assume there is no relationship between main business revenue and ancillary business revenue, the abandonment options value is estimated at 2.32% of the initial investment of ancillary business. However, when we consider there is a link between main business revenue and ancillary business revenue, the abandonment option accounts only 0.11% of the initial investment. These results show that we can not estimate the abandonment value of the ancillary business without considering the impact of main business on the ancillary business.We further find that the abandonment decision on the main business can affect the abandonment decision of the ancillary business. We model the impact by changing the coefficient of correlation between main business revenue and the ancillary business revenue.

Key words: real option analysis, ancillary business, BOT project, abandonment option,
Monte Carlo simulation