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Quel prix pour les options UMTS? Une approche par les options réelles

Listed author(s):
  • Bessière, Véronique
  • Kaestner, Michael

Cet article présente une méthodologie d’évaluation des licences UMTS en utilisant un modèle d’options réelles. L’acquisition d’une licence est perçue comme donnant droit à entreprendre les investissements d’infrastructure du réseau, que la firme peut différer dans le temps. La valeur de la licence correspond alors à l’option d’investissement. Les investissements sont supposés réalisés en une fois, et les cash-flows futurs qui en résultent sont incertains. L’incertitude sur les cash- flows peut inciter la firme à attendre avant de réaliser l’investissement, même si la VAN espérée est positive. Nous déterminons la valeur de la licence UMTS et spécifions le seuil de cash-flows pour lequel la VAN dévient égale à la valeur de l’option et auquel il devient optimal de réaliser l’investissement. Nous discutons l’impact des différents paramètres (volatilité et taux de croissance des cash-flows, coût de l’investissement, …) sur la décision d’investissement.

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Paper provided by Montpellier University, Center for Research in Finance in its series Accepted Papers Series with number 2001-3.

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Length: 8 pages
Date of creation: 30 Jul 2001
Publication status: published in Banque et Marches, No. 59, July-August 2002
Handle: RePEc:grf:mtpaps:bk001
Note: Article in french language
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