第三章外人直接投资最适决策实质选择权分析法

27—221228(2000)ForeignDirectInvestmentFDIHymer(1961)OwnershipMNELocation()Internalization23Luo1998MNEMNEwhenwhywherehowFDIMNEMNEpotentialfirst29moveradvantages24(irreversibility)MNE(operationflexibility)25MNELeeandCaves1998RivoliandSalorio1996FDIFDIMcDonaldandSiegel1986DixitandPindyck199426NetPresentValue(NPV)Dixit1989(RealOptionsApproach)MNECampa1993Dixithysteresis27KogutandKulatilaka1994MNEBuckleyandCasson1981NPVFDIrecurrentcostMNE3028(timetobuild)29sequentialcompoundoptions30Hule2000Bar-IlanandStrange1998FDIabilitytodelay1312332MNEFDIFDIFDIMNE3133FDI3435compoundexchangeoptionsmodelMNEFDICarr1988deferswitchMNE3233FDIFDI(RD)MNEFDICarr1988Carr1988.12deliveryassets34534.11T2T22K3K4K3ASEOBSEOCSEOSimpleExchangeOptionSEO4ACEOBCEOCCEOCompoundExchangeOptionCEO.FDI3.2FDI0()10,T()21.TT11*111dzdtVdVsa+=3.122*222dzdtVdVsa+=3.2*ia2,1=i*iVrisidzWienerprocess1dz2dz12r2T0tT2T135SimpleExchangeOptionSEOASEO()()0,,;2222212212TTTTTVVMaxTVVASEO-=3.3ASEO1Tr()()[]0,2212112TTTTrTVVMaxeEASEO-=--3.41T1TFDI22VK1V2VCompoundExchangeOptionCEOACEO()()0,,;221221111TTTTTVKASEOMaxTVKASEOACEO-=3.52KtACEO()()[]0,max11122TTtTrtVKASEOeEACEO-=--3.6tACEO0)(21)()(21122211122222121122121=-++TVVVVVVACEOACEOVACEOVVACEOVsssrs3.7()()0,0.,11112222TTTTVKASEOMaxVKASEOACEO-=3.8ASEO0)()(21)()(21222211122222121122121=-++TVVVVVVSEOSEOVASEOVVASEOVsssrs3.936()()0,0.,22222121TTTTVVMaxVVASEO-=3.103.93.10Margrabe19781V);,(221TVVASEOt()111112211122;,()()TTTTASEOVVTTVNdVNd-=-(3.11)()⋅N)()(21ln1212221111TTTTVVdTT--⎟⎠⎞⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛=ss1212TTdd--=s1221222122rsssss-+=2s1s2s21,VV12r2VNumeraire()111221221,;TTTVKTTVVASEO=-(3.12)3.1122121)()(11KdNdNVVTT=-⎟⎟⎠⎞⎜⎜⎝⎛*2111⎟⎟⎠⎞⎜⎜⎝⎛TTVVMcDonaldandSiegel1986DixitandPindyck1994364.74.8tACEO()()()()[])(;,;,;,;,*2122021*212011*111012212211dNKVddBNVddBNVTVKTTVVASEOACEOACEOTt--=-≡rr(3.13)()r;,21*21ddBN*21d21d21/TT=r1T2TI3722220101121lnTTVVdss⎥⎦⎤⎢⎣⎡+=21121Tdds-=112*212010*21)/()/(ln1111TTVVVVdTTss⎥⎦⎤⎢⎣⎡+⎥⎥⎦⎤⎢⎢⎣⎡=1**1121Tdds-=21TT=r10V20V1V2V3.13Carr1988371FDI21()TT-MNE2FDI2sFDIMNE3rFDI38Carr198839MNEQuantoOptionsReiner1992MNEDixit1989QddddddzdtrVdVs+=3.14drdsQddzQWienerprocess()QfffffffdzdtrVdVsssree+-=3.15frfsQfdzQWienerprocessferdfre41()Qdfdrrdtdzeeese=-+3.16eesQdzeQWienerprocess40fVIto’sLemmaffdffdzdzdtrVVdsseeee++=)(3.171997e2TBSEO()()0,,;22222dTfTfTdTVVMaxTVVBSEO-⋅=e3.181TBSEO42()()()(){}21122211134,0()()ddfffQrTTTfTdTrrTTfTdTBSEOeEMaxVVVeNdVNdeerssee----+-⎡⎤=⋅-⎣⎦=⋅-3.191RE2RE1R2Roperator)()(21)(ln12*122*311TTTTrrVVdffdfdTfT--⎟⎠⎞⎜⎝⎛+--+⎟⎟⎠⎞⎜⎜⎝⎛⋅=ssssreee12*34TTdd--=sfddffdssrsss2222*-+=GirsanovTheorem431R0=fs41()1RddfddfddddzdtrVdVsssr++=3.20()12RffffffffdzdtrVdVssssree++-=3.212R()22RdddddddzdtrVdVss++=3.22()2RfffddffffffdzdtrVdVsssrssree++-=3.23edV()11131,;dTfTdTVKTVVBSEO=3.243K3.19()2211112343()()dfffrrTTfTdTVeNdNdKVeerssse⎛⎞--++-⎜⎟⎝⎠⎛⎞⋅-=⎜⎟⎜⎟⎝⎠*11⎟⎟⎠⎞⎜⎜⎝⎛dTfTVVe111111***343fTfTfTdTdTdTVVVNdNdKVVVeee⎡⎤⎡⎤⎛⎞⎛⎞⎛⎞⋅⋅⋅⎢⎥⎢⎥-=⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎢⎥⎢⎥⎝⎠⎝⎠⎝⎠⎣⎦⎣⎦3.25*11⎟⎟⎠⎞⎜⎜⎝⎛dTfTVVeMNE1T()131,;dTfdVKTVVBSEO=BSEO⎟⎟⎠⎞⎜⎜⎝⎛11dTfTVVeIndicatorfunction⎥⎥⎥⎦⎤⎢⎢⎢⎣⎡⎟⎟⎠⎞⎜⎜⎝⎛≥*11111dTfTdTfTVVVVee42BCEO1T13dTVKBCEO22dTfTVV-e1T13dTVK3.13.1.BCEO()()()2*055**066306,,,,()dfffrrTfddBCEOVeBNddVBNddKVNdeersserr--+=--3.262*22*00521lnTTrrVVdffdfdfssssreee⎥⎦⎤⎢⎣⎡+--+=1*12**00*521)/()/(ln11TTrrVVVVdffdffTfTdfssssree⎥⎦⎤⎢⎣⎡+--+⎥⎥⎦⎤⎢⎢⎣⎡=1**5*6Tdds-=2*56Tdds-=0fV0dVfer3.1.13.19Reiner1992203=K431=eMNE3.25Margrabe19783dV0=ds3.25Geske197940=fer1=e3.25Carr19883.28FDIdfrr-BCEO2)(Tffessreee2TCSEO()()0,,;222222dTfTTfTdTVVMaxTVVCSEO-⋅=e3.271TCSEO()(){}21122211178,0()()dQrTTTTfTdTTfTdTCSEOeEMaxVVVNdVNdee--⎡⎤=-⎣⎦=-3.28)()(21ln12**122**7111TTTTVVddTfTT--⎟⎠⎞⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛=sse12**78TTdd--=seeeeessrssrssrssssddfffddffd2222222**-+-++=443RE4RE3R4RGirsanovTheorem3R()3RddddfddfddddzdtrVdVsssrssree+++=3.29()()33222fRRdffffffdVrdtdzdzVeeeeeersssssse=+++++3.304R()42RdddddddzdtrVdVss++=3.31()()44RRfffddfdddffdzdzdtrVVdeeeessssrssree++++=3.32edV()111141,;dTfTTdTVKTVVCSEO=e3.334K3.32111784()()TfTdTVNdNdKVe⎛⎞⋅-=⎜⎟⎜⎟⎝⎠*11⎟⎟⎠⎞⎜⎜⎝⎛dTfTVVe*111⎟⎟⎠⎞⎜⎜⎝⎛dTfTTVVe111111***784fTfTfTdTdTdTVVVNdNdKVVVeee⎡⎤⎡⎤⎛⎞⎛⎞⎛⎞⎢⎥⎢⎥-=⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎜⎟⎢⎥⎢⎥⎝⎠⎝⎠⎝⎠⎣⎦⎣⎦3.3411*fTdTVVe⎛⎞⎜⎟⎜⎟⎝⎠MNECCEO451T14dTVKCCEO222dTfTTVV-e1T14dTVKCCEO3.23.2.CCEO()()*099**1010409,,,,()fddCCEOVBNddVBNddKVNderr=--3.35002**209**21ln2fdVTVdTess⎡⎤+⎢⎥⎣⎦=2**910Tdds-=1110002**1**9**1(/)1ln(/)2TfdfTdTVVTVVdTeses⎡⎤⎡⎤+⎢⎥⎢⎥⎣⎦⎢⎥⎣⎦=1***9*10Tdds-=eeeeessrssrssrssssddfffddffd2222222**-+-++=0e3.2.3.27Reiner19923.35FDI46BCEOCarr1988FDI3.3BCEO1dr2fr3dfr42ds52fs671T2T8dV9fV3.23.4CCEO12fs22ds3dfr4fer52es64K71T2T8dV9fV3.33.23.312FDIFDIFDI47FDI4431T42TFDI3.33.43.3MNEFDIMNEFDI3.3.3.445eeessrbfff≡marketpriceofriskdddeeesbrs≡MNEFDI3.4.Campa1993MNEFDIFrootandStein1991Blonigen1997Aizenman19921994FDI()/fmmrrebs=-mrms48FDIFDIFDIFDI12FDIFDIFDIFDI31T42T49BCEOdV—fV+dr—fr+2fs2dsdfr—fer+4K—1T+2T+CCEOdV—fV+2fs2ds2esdfr—fer+4K—1T+2T+