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Using Real Options Theory to Irrigation Dam Investment Analysis: An Application of Binomial Option Pricing Model

机译：实物期权理论在灌溉大坝投资分析中的应用：二项式期权定价模型的应用

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摘要

This paper demonstrates the utility of the real options approach to irrigation dam investment analysis. The main objective is to show how to calculate the option values of selected options that may be available to managers of irrigation dam investments. The paper provides an empirical application, which compares an irrigation dam investment using the static Net Present Value (NPV) model and the real options approach and shows how it can be adopted to model uncertainty and managerial flexibility in dam management. Four management options are used for the real options approach: an option to delay the investment, an option to enlarge the dam, an option to abandon the dam, and multiple options that evaluated all three options together. All options were evaluated using the binomial option pricing model, where water values are assumed to follow a multiplicative binomial process. The analysis show that although the traditional NPV approach accepted the investment as profitable the option approach provided better results showing that all three options were highly valuable if exercised. When real options are considered, the traditional NPV model for assessing the profitability of a dam investment may fail to provide an adequate decision-making framework because it does not properly value management's ability to adjust to shocks in the economy, as well as risks and uncertainty.
机译：本文展示了实物期权方法在灌溉大坝投资分析中的实用性。主要目的是说明如何计算灌溉大坝投资管理人员可以使用的选定期权的期权价值。本文提供了一个经验应用，它使用静态净现值（NPV）模型和实物期权方法比较了灌溉大坝的投资，并展示了如何将其用于建模大坝管理中的不确定性和管理灵活性。实物期权方法使用四个管理选项：一个用于延迟投资的选项，一个用于扩大水坝的选项，一个放弃水坝的选项以及将这三个选项共同评估的多个选项。所有期权均使用二项式期权定价模型进行了评估，在该模型中，假设水价遵循乘法二项式过程。分析表明，尽管传统的NPV方法将投资视为获利，但选择权方法却提供了更好的结果，表明如果行使这三个选择权，它们都是非常有价值的。当考虑实物期权时，传统的评估大坝投资获利能力的NPV模型可能无法提供适当的决策框架，因为它没有适当地评估管理层适应经济冲击以及风险和不确定性的能力。 。

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