问一道题：NO.PZ2018101501000017

问题如下：

Company M has a four-year project with an expansion option, which depends on the demand at the end of the 1^st year. Whether demand is -high- or -low- in Years 1–4 will be determined during the first year. The probabilities of -high- or -low- demand are equal. The cost of capital is 12%. We should notice that the expansion option will not exist if the initial investment is not made. The detailed information of the project is given in the following tables.

The initial project:

Additional cash flows with the optional expansion project:

What’s the NPV of the initial project without the real option?

选项：

$2.57 million

-$13.32 million

-$16.28 million

解释：

B is correct.

考点：Evaluating Projects with Real Options

解析：不考虑实物期权的情况下

NPV_high = -150 +$\sum_{t=1}^4\frac{60}{1.12^t}$  = $32.24 million

NPV_low= -150 +$\sum_{t=1}^4\frac{30}{1.12^t}$  = -$58.88 million

Expected NPV = 0.50(32.24) + 0.50(-58.88) = – $13.32 million.