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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Datar–Mathews method for real option valuation ： ウィキペディア英語版 Datar–Mathews method for real option valuation The Datar–Mathews Method 〔Mathews, S. H., Datar, V. T., and Johnson, B. 2007. (A practical method for valuing real options ). Journal of Applied Corporate Finance 19(2): 95–104.〕 (DM Method ©〔U.S. Patent No. 6,862,579 (issued Mar. 1, 2005). The DM Method and related technologies are available for licensing from Boeing.〕) is a new method for real options valuation. The DM Method provides an easy way to determine the real option value of a project simply by using the average of positive outcomes for the project. The DM Method can be understood as an extension of the net present value (NPV) multi-scenario Monte Carlo model with an adjustment for risk-aversion and economic decision-making. The method uses information that arises naturally in a standard discounted cash flow (DCF), or NPV, project financial valuation. It was created in 2000 by Professor Vinay Datar, Seattle University, and Scott H. Mathews, Technical Fellow, The Boeing Company. ==The method== The mathematical equation for the DM Method is shown below. The method captures the real option value by discounting the distribution of operating profits at ''µ'', the market risk rate, and discounting the distribution of the discretionary investment at ''r'', risk-free rate, BEFORE the expected payoff is calculated. The option value is then the expected value of the maximum of the difference between the two discounted distributions or zero. Fig. 1. :''T'' uses ''μ'', a discount rate consistent with the risk level of ''S''''T''. ''μ'' is the required rate of return for participation in the target market, sometimes termed the hurdle rate. *''XT'' is a random variable representing the strike price. The present valuation of ''XT'' uses ''r'', the rate consistent with the risk of investment, ''X''''T'' . In many generalized option applications, the risk-free discount rate is used. However other discount rates can be considered, such as the corporate bond rate, particularly when the application is a risky corporate product development project. *''C''0 is the real option value for a single stage project. The option value can be understood as the expected value of the difference of two present value distributions with an economically rational threshold limiting losses on a risk-adjusted basis. The differential discount rate for ''μ'' and ''r'' implicitly allows the DM Method to account for the underlying risk. If ''μ'' > ''r'', then the option will be risk-averse, typical for both financial and real options. If ''μ'' < ''r'', then the option will be risk-seeking. If ''μ'' = ''r'', then this is termed a risk-neutral option, and has parallels with NPV-type analyses with decision-making, such as decision trees. The DM Method gives the same results as the Black–Scholes and the binomial lattice option models, provided the same inputs and the discount methods are used. This non-traded real option value therefore is dependent on the risk perception of the evaluator toward a market asset relative to a privately held investment asset. The DM Method is advantageous for use in real option applications because unlike some other option models it does not require a value for ''sigma'' (a measure of uncertainty) or for ''S''0 (the value of the project today), both of which are difficult to derive for new product development projects; see further under real options valuation. Finally, the DM method uses real-world values of any distribution type, avoiding the requirement for conversion to risk-neutral values and the restriction of a lognormal distribution;〔Datar, Vinay T. and Mathews, Scott H., 2004. (European Real Options: An Intuitive Algorithm for the Black–Scholes Formula ). Journal of Applied Finance 14(1): 7–13〕 see further under Monte Carlo methods for option pricing. Extensions of the DM Method for other real option valuations have been developed such as Contract Guarantee (put option), Multi-Stage (compound option), Early Launch (American option), and others. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Datar–Mathews method for real option valuation」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.