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On first use: Read ../../CLAUDE.md to obtain the discount rate and risk premium configuration.
/real-options-analysis — Real Options Analysis
Step 1: Determine whether real options analysis is required
□ 是否须评估实物期权（满足任一即须）：
□ 项目 NPV < 0 但有战略价值 → ✅ 须评估
□ 项目不确定性高（研发/新产品线/市场未验证）→ ✅ 须评估
□ 可分阶段投资（可选退出/追加）→ ✅ 须评估
□ 项目涉及专利/独占性资源（战略护城河）→ ✅ 须评估
□ 竞争环境快速变化（可延迟/调整）→ ✅ 须评估
□ Analysis type selection: □ Option to Defer: whether investment should be postponed □ Option to Expand: whether to retain the right to expand scale □ Option to Contract: whether to retain the right to reduce scale □ Option to Abandon: whether to retain the right to abandon the project
□ Not suitable for real options analysis: □ Operational improvement projects with stable and predictable cash flows □ Must invest immediately or the opportunity will be lost □ Competition is already mature with no flexibility value
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## 第二步：建立二叉树模型（简化）
□ Project parameters: □ Initial investment: [X] ten thousand yuan □ Project present value (PV of FCF): [X] ten thousand yuan □ Up factor (u): [X] (ln(H)/σ√dt) □ Down factor (d): 1/u □ Risk-free rate: [X]% (refer to the yield of government bonds of the same period) □ Uncertainty (annualized volatility σ): [X]% (industry reference or subjective judgment)
□ Binomial tree periods: □ Decision nodes: [X] (1 node per year) □ Total analysis period: [X] years
□ Binomial tree terminal values (end of period): □ Up scenario value: [X] ten thousand yuan □ Down scenario value: [X] ten thousand yuan
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## 第三步：延迟期权计算（如适用）
□ Parameters: □ Option value of deferring for 1 year □ Cost of deferral (additional input/opportunity cost): [X] ten thousand yuan
□ Calculation: □ NPV of investing after waiting 1 year (with uncertainty) □ Option to defer value = max(NPV of investing immediately, NPV of investing after waiting)
□ Judgment: □ Option to defer value > cost of deferral → ✅ Should defer □ Option to defer value < cost of deferral → ⚠️ Should invest immediately □ Incremental value of option to defer: [X] ten thousand yuan
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## 第四步：扩张/放弃期权计算（如适用）
□ Option to expand: □ Retain the right to expand (do not invest the full amount immediately): □ Additional value after expansion: [X] ten thousand yuan □ Option to expand value: [X] ten thousand yuan
□ Option to abandon: □ Project residual value/realizable value: [X] ten thousand yuan □ Option to abandon value: max(continuation value, residual value) □ Option to abandon value: [X] ten thousand yuan
□ Comprehensive option value: □ Total option value = [deferral value + expansion value + abandonment value] □ Adjusted project value = DCF NPV + total option value □ Adjusted project value: [NPV + X] = [X] ten thousand yuan □ Is it > initial investment: [✅ Yes / ❌ No]
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## 第五步：决策建议
□ Original DCF NPV: [X] ten thousand yuan □ Incremental option value: [X] ten thousand yuan □ Adjusted project value: [X] ten thousand yuan
□ Decision: □ ✅ DCF NPV > 0 and option value further increases → Strongly recommended □ ✅ DCF NPV > 0, option value > 0 → Recommended (consider strategic flexibility) □ ⚠️ DCF NPV < 0 but adjusted > 0 → Consider carefully (option assumptions must be clarified) □ ❌ Still < 0 after adjustment → Not recommended for investment
□ Main option assumptions: □ [Assumption 1] — Uncertainty σ = [X]% — Basis [description] □ [Assumption 2] — Risk-free rate = [X]% — Basis [description] □ [Assumption 3] — [expansion/abandonment conditions]
□ Risk note: □ Option value is sensitive to volatility σ □ Subjective judgment of σ has a large impact → sensitivity analysis is required □ Recommendation: σ sensitivity analysis (σ ±[X]%)
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## 输出格式
═══════════════════════════════════════ Real Options Analysis Report Project: [Project Name] Report Date: [YYYY-MM-DD] ═══════════════════════════════════════
[Original DCF Results] □ NPV: [X] ten thousand yuan — [✅ >0 / ❌ <0] □ IRR: [X]%
[Option Type Identification] □ Option type analyzed: [deferral/expansion/contraction/abandonment] □ Reason for identification: [description]
[Option Value Calculation] (simplified binomial tree model)
| Option Type | Option Value (ten thousand) | Calculation Notes |
|---|---|---|
| Deferral Option | [X] | [brief description] |
| Expansion Option | [X] | [brief description] |
| Abandonment Option | [X] | [brief description] |
| Total | [X] |
[Adjusted Project Value] □ DCF NPV: [X] ten thousand yuan □ Option Value: [X] ten thousand yuan □ Adjusted Value: [X] ten thousand yuan
[σ Sensitivity Analysis] □ σ = [X]% (base) → option value = [X] ten thousand yuan □ σ = [X - X]% (optimistic) → option value = [X] ten thousand yuan □ σ = [X + X]% (conservative) → option value = [X] ten thousand yuan
[Conclusion] □ Investment recommendation: [✅ Recommended / ⚠️ Caution / ❌ Not recommended] □ Main risks: [...] □ Assumptions to watch: [...] □ Recommended conditions (if passing): [...]
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