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

Listed author(s):
  • Véronique Bessière

    (CREGO - Université Montpellier 2)

  • Michael Kaestner

    (GESEM - Université Montpellier 1)

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. Abstract: This article describes a methodology for evaluating UMTS licenses using a real options approach. The acquisition of the license is viewed as the right to undertake the infrastructure investments that the firm can defer. The value of this license equals the value of the investment opportunity. The investment is assumed to be instantaneous and the cash flows associated with the investment are uncertain. This uncertainty of future cash flows might make it attractive to wait before investing even if the expected NPV is positive. The solution specifies the cash flow threshold, where NPV equals the option value and when it the investment should be undertaken. We simulate the impact of different variables (volatility, expected growth rate of cash flows, investment cost, ...) on the investment rule.

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Paper provided by EconWPA in its series Finance with number 0506001.

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Length: 18 pages
Date of creation: 01 Jun 2005
Handle: RePEc:wpa:wuwpfi:0506001
Note: Type of Document - pdf; pages: 18. Article in french language
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