课程名称︰成本效益分析 课程性质︰政治系公行组必修 课程教师︰江瑞祥 开课学院：社会科学院 开课系所︰政治系 考试日期（年月日）︰2010/01/14 考试时限（分钟）：110+10 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : 1. TMRT has the choice of launching one of two products this coming season. One would be positioned in a stable market and has relatively good prospects. The other would develop a new market and is most likely either to fail or to achieve great success. See table below. ┌-───────┬─────────────────────────────┐ │Approach to │ Possible Results of Design Approach - │ │ │ probability and financial return │ │System Design ├─────────┬─────────┬─────────┤ │ │ Failure │ Good Product │ Great Success │ ├-───────┼─────────┼─────────┼─────────┤ │"Off-the-shelf"│ 0.2 │ 0.8 │ 0 │ ├-───────┼─────────┼─────────┼─────────┤ │"Pioneer" │ 0.6 │ 0 │ 0.4 │ ├-───────┼─────────┼─────────┼─────────┤ │ │Loss of 20 million│$15 million profit│$60 million profit│ └-───────┴─────────┴─────────┴─────────┘ (a). Draw decision tree for TMRT's choice, showing all outcomes and probabilities. (15) (b). Which product is the better choice? Assume decision based on expected profit. (5) (c). Define the concept of "expected value of perfect information" (EVPI) (5) (d). Calculate the EVPI for the outcomes of the "Pioneer" product. (10) 2. See previous problem. The start-up developer, Siemens Inc., of the "Pioneer" product approaches TMRT and proposes the following deal (risk-free rate is 5%): ─ TMRT invest X million in a new company that would manufature and distribute this product ─ TMRT get the right to buy this company for 10 million ─ TMRT could avoid any losses (beyond the X million already spent) --if the "Pioneer" product is a failure, the new company would go bankrupt. (a). Define "call" and "put" options. (5) (b). Draw a diagram showing the payoffs from this option. (5) (c). Under what circumstances would TMRT exercise the option to buy new company? (5) (d). Calculate the value of the option using decision analysis. (10) (e). What is the value of the option, once TMRT have paid for it? (15) (f). If the price for the option, X, is 2 million -- should TMRT buy it? TMRT still have the opportunity to assume all risks for the launch of the "Pioneer" product, as described in previous problem. (5) 3. In your field of professional, define a "real option" that might be worth using for improving the expected performance of a public service/infrastructure in which you are interested. (a). Describe this example. (4) (b). Is this option: a put or a call? European or American? "in" or "on" the system? (4) (c). Identify the cost of acquiring the option. (2) (d). Define the cost of exercising the option. (2) (e). Define the conditions that would make it worthwhile to exercise. (3) (f). Outline how you might go about analyzing the value of this option, including the factors that would lead you to prefer one approach over another. (5) 注:可参阅任何资料 --

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