面對不確定性益增的環境，傳統的投資評估方法，因屬於靜態的、沒有彈性的，已經無法滿足企業在投資決策上的需求。實質選擇權法已被公認為最佳之投資評估方法之一，但是連續模型因涉及複雜之數學，且需做許多假設或限制條件，因此在實務應用上並不方便。本文以離散模型來模式化實質選擇權，並以二項式法來分析MR3重金屬提鍊回收廠設置專案，獲得下列結論：
1.本專案靜態之淨現值雖然達323,873仟元，且經由蒙地卡羅模擬得到的平均報酬率為14.88%，但其標準差亦高達28.41％，由專案報酬率分配圖顯示在95%信心水準下，仍有25.1%的機率為負的，因此在投資評價上值得採用實質選擇權的方法。
2.專案在擁有放棄選擇權之情況下(情境一)，其淨現值約增加7.6%；若再增加一個擴張的選擇權之情況下(情境二)，則其淨現值約增加為9.9%。此顯示，增加了一個或二個選擇權後，專案淨現值之增加率不超過10%，究其原因，應為專案本身之靜態NPV已經相當高，因此增加了選擇權後，對專案策略性價值之增加率較低。
3.依據實質選擇權之分析結果，MR3公司在兩種情境下對本專案執行之最佳決策為：
(1) 情境一：可以持續執行本專案至第五年，而於第五年末時，若出現最壞之二種下況(down state)時，則應即停止專案之進行，而將其出售。而若專案持續執行至第六年末時，若出現最壞之三種下況時，則亦應將專案清算出售。
(2) 情境二：於第五年末時，若出現最好之上況時，則應執行擴張選擇權，即加碼投資擴廠；而若出現最壞之二種下況時，則應執行放棄之選擇權。而若專案持續執行至第六年末時，若出現最好之上況時，則應執行擴張選擇權；反之，若出現最壞之三種下況時，則亦應執行放棄之選擇權。
4.影響專案報酬率程度最大之三項不確定性因素，依序為單位廢棄物處理成本(142.5%)、廢棄物單位處理價格(128.8%)、及回收金屬出售價值(85%)。而其中影響最大且是唯一MR3公司較能控制的因素為單位廢棄物處理成本，因此未來在營運時對於成本的管控應特別注重。
5.主要不確定因素對本專案報酬率之最大影響均發生在第六年，此隱含在第六年末時，實為決定本專案後續執行方式的關鍵時刻，此與實質選擇權分析之決策圖所示結果相穩合。
6.若折現率由10%增加至20%時，則報酬率由44.78%降至11.80%，亦即折現每增加1%，則報酬率降低3.79%，因此MR3公司對專案要求之必要報酬率對專案可行性評估之決策影響扮演關鍵角色。

Due to their static and nonflexible characteristics, traditional investment valuation methods are inadequate to meet the requirement of decision making in an environment of increasing uncertainty. Although the real option approach has been recognized as one of the best alternative for investment valuation, a continuous model involving complex mathematics and many assumption restrictions makes this approach inconvenient in practical implementation. A discrete binomial model of real option analysis is used in this study for the investment valuation of an MR3 Metal Reclamation Plant. Major findings are summarized as follows:
1. Although the static NPV is as high as NT$323.9 millions and the simulation result of the average rate of return is 14.88%, there is still a 25.1% probability that the rate of return could be negative indicating that using the real option analysis could be a good approach.
2. Under the condition that the manager has the option to abandon (scenario 1), the NPV increases 7.6%, while when both options to abandon and expansion are available (scenario 2), the NPV will increase 9.9%. This shows that the addition of one or more options will keep the increasing rate of the option value less than 10% of the static NPV.  The reason could be that a higher static NPV decreases the project strategic value.
3. According to real option analysis results, the optimum policies to be implemented by MR3 plant are as follows:
(1) Scenario 1: The project will be continued until the fifth year.  At the end of fifth if the worst two down states happen, it should be stopped and the assets should be sold.  If the project continues until the end of the sixth year with the occurrence of the worst three down states, it should then be liquidated. 
(2) Scenario 2: By the end of fifth year, the project could be expanded if the best up state occurs.  But if the worst two down states happen, it could be salvaged. By the end of sixth year, the project could also be expanded in case the best up state comes about, and could be salvaged in the event that the worst three down states arise.
4. The descending order of three major uncertainties influencing the project rate of return is: unit cost of waste treatment (142.5%), unit price of waste treatment (128.8%), followed by sale price of recovery metals.  Among these three uncertainties, MR3 can only control the cost of waste treatment, thus, they should pay more attention to cost control in their operation.
5. Results of the sensitivity analysis show that the maximum impact of uncertainties on the rate of return occurs during the sixth year. This implies that MR3 could be facing a significant decision making by the end of sixth year that coincides with the results shown on the optimal decision diagram.
6. If the discounted rate increases from 10% to 20%, the rate of return decreases from 44.78% to 11.80%.  In other words, the rate of return decreases 3.79% for every 1% increase of discounted rate. Thus the required rate of return as requested by MR3 from the project plays an importance role in the decision making on evaluating the practicality of the project.

目錄  ．．．．．．．．．．．．．．．．．．．．．．．．．．I
圖目錄 ．．．．．．．．．．．．．．．．．．．．．．．．．II
表目錄  ．．．．．．．．．．．．．．．．．．．．．．．．III
第一章 緒論 ．．．．．．．．．．．．．．．．．．．．．．．1
第一節 研究動機與目的．．．．．．．．．．．．．．．．．． 1
第二節 研究步驟．．．．．．．．．．．．．．．．．．．．． 4
第三節 研究內容與架構　．．．．．．．．．．．．．．．．． 5
第二章 文獻回顧與探討 ．．．．．．．．．．．．．．．．．．8
第一節 實質選擇權之發展緣起．．．．．．．．．．．．．．． 8
第二節 實質選擇權之理論發展 ．．．．．．．．．．．．．．．9
第三節 實質選擇權之應用發展　．．．．．．．．．．．．．．12
第三章 研究方法 ．．．．．．．．．．．．．．．．．．．． 18
第一節 實質選擇權之種類 ．．．．．．．．．．．．．．．． 18
第二節 實質選擇權之理論．．．．．．．．．．．．．．．．．22
第三節 實質選擇權分析相關變數值的決定．．．．．．．．．．25
第四節 求解實質選擇權的方法．．．．．．．．．．．．．．．27
第五節 評價實質選擇權的步驟．．．．．．．．．．．．．．．29
第四章 案例概述 ．．．．．．．．．．．．．．．．．．．． 32
第一節 我國重金廢棄物產生及回收處理概況．．．．．．．．．32
第二節 MR3重金屬回收技術及MR3經營策略分析．．．．．．．．35
第三節 MR3重金屬提鍊回收廠投資計畫概況．．．．．．．．． 44
第五章 應用實質選擇權於本個案之評價 ．．．．．．．．．． 49
第一節 專案現金流量預估．．．．．．．．．．．．．．．．．49
第二節 處理影響專案價值不確定性因素之方式．．．．．．．．53
第三節 實質選擇權分析．．．．．．．．．．．．．．．．．．54
第四節 評價結果與最適之管理決策．．．．．．．．．．．．．61
第五節 敏感度分析．．．．．．．．．．．．．．．．．．．．70
第六節 實質選擇權分析結果之評析．．．．．．．．．．．．．78
第六章 結論與建議 ．．．．．．．．．．．．．．．．．．． 82
第一節 研究成果與發現．．．．．．．．．．．．．．．．．．82
第二節 研究限制與後續研究建議．．．．．．．．．．．．．．86
參考文獻 ．．．．．．．．．．．．．．．．．．．．．．．．88

圖1.1 研究架構流程．．．．．．．．．．．．．．．．．．．．7
圖3.1 評價實質選擇權的四步驟 ．．．．．．．．．．．．．．30
圖4.1 MR3金屬濕式提鍊回收技術處理流程．．．．．．．．．．36
圖5.1 MR3專案現值變化圖．．．．．．．．．．．．．．．．．52
圖5.2 處理價格變化圖 ．．．．．．．．．．．．．．．．．．57
圖5.3 回收價值變化圖 ．．．．．．．．．．．．．．．．．．58
圖5.4 處理成本變化圖 ．．．．．．．．．．．．．．．．．．59
圖5.5專案報酬率機率分配圖．．．．．．．．．．．．．．．．60
圖5.6 MR3專案現值事件樹圖．．．．．．．．．．．．．．．．63
圖5.7 MR3專案實質選擇權決策樹圖(情境一)．．．．．．．．．64
圖5.8 MR3專案實質選擇權最佳投資決策圖(情境一)．．．．．．65
圖5.9 MR3專案實質選擇權決策樹圖(情境二)．．．．．．．．．68
圖5.10 MR3專案實質選擇權最佳投資決策圖(情境二)．．．．． 69
圖5.11報酬率對廢棄物處理量敏感度分析圖．．．．．．．．． 73
圖5.12報酬率對廢棄物單位處理價格敏感度分析圖．．．．．． 74
圖5.13報酬率對自每噸廢棄物回收金屬出售價值敏感度分析圖． 75
圖5.14報酬率對單位廢棄物處理成本敏感度分析圖．．．．．． 76
圖5.15報酬率對折現率之敏感度分析圖．．．．．．．．．．． 77

表4.1各類型電鍍製程特性、廢液來源及重金屬污染物彙整．．．34
表4.2 MR3公司之SWOT分析 ．．．．．．．．．．．．．．．． 43
表4.3 SWOT配對策略分析 ．．．．．．．．．．．．．．．．．44
表4.4 MR3處理能量規劃及投資金額．．．．．．．．．．．．．46
表4.5分年投資費用估計．．．．．．．．．．．．．．．．．．46
表4.6預估單位營業收入變化．．．．．．．．．．．．．．．．47
表4.7預估營運費用變化．．．．．．．．．．．．．．．．．．48
表5.1 MR3每年折舊費計算表．．．．．．．．．．．．．．．．49
表5.2 MR3重金屬提鍊回收廠投資計畫現金流量預估表．．．．．51
表5.3 專案報酬率統計資料表 ．．．．．．．．．．．．．．．60
表5.4 實質選擇權價值計算(情境一)．．．．．．．．．．．． 62
表5.5 實質選擇權價值計算(情境二)．．．．．．．．．．．． 67
表5.6 專案實質選擇權價值與傳統NPV值 ．．．．．．．．．． 79
表5.7 主要不確定因素第六年對專案報酬率之最大影響程度 ．．81

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