Monte Carlo

,
(Real Options)

11- 1

11- 2

(Sensitivity Analysis)

..
(Scenario Analysis)

.


.

11- 3

Sensitivity Analysis

Otobai Motor
Scooter.

,

10%.


( ).

11- 4

Sensitivity Analysis
OTOBAI SCOOTER
Year 0

Years 1 - 10

- 15

37.5
30

1.5
3

1.5

Profit after tax

1.5

Operating cash flow

Net Cash Flow

3.0
3

- 15

NPV= 3.43 billion Yen

11- 5

Sensitivity Analysis
OTOBAI

.9 mil

1.0 mil

1.1 mil

.04

.1

.16

350,000

375,000

380,000

. //

360,000

300,000

275,000

4 bil

3 bil

2 bil

11- 6

Sensitivity Analysis
Example - continued
NPV

Year 0
- 15

41.25
33
3

50%

Years 1 - 10

- 15

1.5
3.75
1.88
1.88
3.38
+ 3.38

NPV= +5.7 bil yen

11- 7

Sensitivity Analysis
NPV ( Yen)
Range
M

1.1

3.4

5.7

- 10.4

3.4

17.3

- 4.2

3.4

5.0

- 15.0

3.4

11.1

0.4

3.4

6.5

11- 8

NPV Break Even Analysis

NPV=0

PV
Break even

400

NPV=0

PV (Yen)
PV

200

19.6

Scooter, 000s
85

200

11- 9

Break Even Analysis

.
;

60

Break even

40

(Yen)

=0

20

Billions
60

200

scooter
000s

11- 10

Monte Carlo


1:

2:


3:

11- 11

Monte Carlo Simulation

 , ()


.

..
(Options)
.

(Options)

.

()
.

11- 12

11- 13

(
$200,000)

NPV=$2million

NPV=0
NPV=0

 ()

1. ()

2.
3.
4.
( )

11- 14

11- 15

Decision Trees
960 (.8)
+150(.6)

220(.2)

-550
NPV= ?
Turboprop

930(.4)
+30(.4)

140(.6)
800(.8)
-150

+100(.6) or

410(.8)
0

-250
NPV= ?
Piston

100(.2)

180(.2)

220(.4)
+50(.4)

100(.6)

11- 16

Decision Trees
960 (.8)
+150(.6)

220(.2)

-550
NPV= ?
Turboprop

930(.4)
+30(.4)

-150

+100(.6) or

100(.2)
410(.8)

NPV= ?
Piston

456

140(.6)
800(.8)

-250

812

180(.2)

660

364

220(.4)
+50(.4)

100(.6)

148

11- 17

Decision Trees
960 (.8)
+150(.6)

220(.2)

-550

930(.4)

NPV= ?
Turboprop

+30(.4)

800(.8)

+100(.6) or

100(.2)
410(.8)

NPV= ?
Piston

456

140(.6)
-150

-250

812

180(.2)

660

364

220(.4)

(960 .80)+50(.4)
+ (220 .20 ) = 812
100(.6)

148

11- 18

Decision Trees

-550
NPV= ?
Turboprop

960 (.8)

660 +150(.6)
150 = 450
1.10

220(.2)
930(.4)

+30(.4)

800(.8)
-150

+100(.6) or
331

100(.2)
410(.8)

NPV= ?
Piston

456

140(.6)
*450

-250

812

180(.2)

660

364

220(.4)
+50(.4)

100(.6)

148

11- 19

Decision Trees
960 (.8)

NPV=888.18

+150(.6)

220(.2)

-550
NPV= ?
Turboprop

930(.4)
+30(.4)
*450

NPV= ?
Piston

800(.8)
-150

or

100(.2)
410(.8)

0
331

-250

456

140(.6)

NPV=444.55

812 NPV=550.00
+ 150 = 888+100(.6)
.18
1.10

812

180(.2)

660

364

220(.4)
+50(.4)
NPV=184.55

100(.6)

148

11- 20

Decision Trees
960 (.8)

NPV=888.18

+150(.6)

NPV= ?
Turboprop

220(.2)

710.73

-550

930(.4)

+30(.4)

NPV=550.00

800(.8)
-150

+100(.6) or

100(.2)
410(.8)

660

364

) + (444180(.2)
= (888403.82
.18 .60
.55 .40 )
331
0

NPV= ?
Piston

456

140(.6)

NPV=444.55
*450

-250

812

220(.4)

+50(.4)
NPV=184.55

100(.6)

148

11- 21

Decision Trees
960 (.8)

NPV=888.18

+150(.6)

Turboprop
-550
NPV=96.12

220(.2)

710.73

930(.4)

+30(.4)

NPV=550.00

800(.8)
-150

+100(.6) or

NPV=117.00

100(.2)
410(.8)

710.73
180(.2)
331
550 = 96.12
403.82
220(.4)
1.10
+50(.4)

NPV=184.55

456

140(.6)

NPV=444.55
*450

Piston
-250

812

100(.6)

660

364

148

11- 22

Decision Trees
960 (.8)

NPV=888.18

+150(.6)

Turboprop
-550
NPV=96.12

220(.2)

710.73

930(.4)

+30(.4)
*450
NPV=550.00

800(.8)
-150

+100(.6) or

NPV=117.00

+50(.4)
NPV=184.55

331

100(.2)
410(.8)

403.82

456

140(.6)

NPV=444.55

Piston
-250

812

180(.2)

660

364

220(.4)
100(.6)

148

11- 23

Web Resources
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