傳統之投資方案評估乃是基於對方案的現金流量做折現分析，進而得到諸如淨現值(net present value, NPV)或內部報酬率(internal rate of return, IRR)等之評估結果。然而傳統之折現分析法存在兩個主要的缺點，其一是在不確定的決策情境中投資方案之參數諸如現金流量等難以被精確的估計；其二是存在於投資方案中之管理彈性的價值無法被顯現出來。此兩項缺點對於策略性投資方案的評估結果皆會產生顯著的影響。本論文中所提出之模糊二項式評價模式其目的即在於改善上述的兩項缺點，本模式可被使用於不確定的決策情境中做投資方案的評估；同時於評估結果中亦可顯現存在於投資方案中之管理彈性的價值。此外，於本論文中亦提出一個計算投資方案的模糊擴張淨現值(fuzzy expanded net present value, FENPV)之平均數的方法，此方法可將投資方案之模糊擴張淨現值因為管理彈性之避險效果而呈現右偏分配的特徵反映出來。最後本論文中亦對於複合選擇權的價值做進一步的探討。

The typical approaches to investment project evaluation are based on discounted cash flows (DCF) analysis which provides measures like net present value (NPV) and internal rate of return (IRR). DCF-based approaches exhibit two major pitfalls. One is that DCF parameters such as cash flows cannot be estimated precisely in an uncertain decision making environment. The other one is that the values of managerial flexibilities in investment projects cannot be exactly revealed through DCF analysis. Both of them would have significant influence on strategic investment projects evaluation. This dissertation proposes a fuzzy binomial approach that can be used in project evaluation under uncertainty. The proposed approach also reveals the value of flexibilities embedded in the project. Furthermore, this dissertation provides a method to compute the mean value of a project’s fuzzy NPV. The project’s fuzzy NPV is characterized with right-skewed possibilistic distribution because these flexibilities retain the upside potential of profit but limit the downside risk of loss. Finally, this dissertation discusses the value of multiple options in a project.

CONTENTS
CONTENTS.................................................Ⅰ
LIST OF TABLES...........................................Ⅲ
LIST OF FIGURES………………………………………………………Ⅳ
LIST OF ABBREVIATION……………………………….………………Ⅴ
CHAPTER 1	INTRODUCTION………………………………………………1
1.1	Purpose of the Study……………………………………1
1.2	Research Method………………………………………….3
1.3	Framework of the Dissertation…………………………5
CHAPTER 2	LITERATURE REVIEW…………………………………………6
2.1	Related Works………………………………………………6
2.2	Uncertainty in Stochastic Model……………………13
2.3	Types of Real Options………………………………….22
2.4	Constraints of Real Options…………………………23
2.5	Summary of Literature Review…………………………26
CHAPTER 3	PRELIMINARIES OF FUZZY SET……………………………28
3.1	Definition of Fuzzy Number……………………………28
3.2	Arithmetic Operation of Fuzzy Number………………31
3.3	Mean Value and Variance of Fuzzy Number…………33
CHAPTER 4	THE EVALUATION APPROACH……………………………….34
4.1	Expanded Net Present Value……………………………34
4.2	The Fuzzy Binomial Evaluation Approach……………35
4.3	Jumping Factors of Binomial Diffusion……………43
CHAPTER 5	ILLUSTRATIVE EXAMPLES…………………………………46
5.1	Case 1………………………………………………………46
5.1.1.	Option to Expand and Option to Contract…………50
5.1.2.	Simultaneous Multiple Options………………………53
5.2	Case 2………………………………………………………55
5.2.1.	Option to Defer and Option to Abandon……………58
5.2.2.	Sequential Multiple Options…………………………60
CHAPTER 6	CONCLUSIONS AND RECOMMENDATIONS……………………63
6.1	Conclusions………………………………………………63
6.2	Recommendations…………………………………………65
REFERENCES……………………………………………………………66

LIST OF TABLES
Table 2-1 Mapping an investment opportunity onto a call option..24
Table 2-2 A summary of the related literatures…………………....27
Table 5-1 A summary of the results (in billion NT$)…………….53
Table 5-2 A summary of the results (in million NT$)……….……..61

LIST OF FIGURES
Figure 3-1 The triangular membership function…………………..30
Figure 4-1 The single period binomial tree of underlying asset value
…………………………………………………………....35
Figure 4-2 The dynamics of option value…………………………36
Figure 4-3 The membership function of FENPV…………….......42
Figure 5-1 Binomial tree of project value…………………………..49
Figure 5-2 The decision tree with the option to expand………....51
Figure 5-3 Binomial tree of the project’s cash inflows…………….56
Figure 5-4 The decision tree of the project with the option to defer
…………………………………………………………....58
Figure 5-5 The decision tree of the project with the option to abandon………………………………………………….59
Figure 5-6 The decision tree of the project with sequential multiple options………………………………………………..….60

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