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Information technology portfolio management and the real options method (ROM) managing the risks of IT investments in the Department of the Navy (DON) /Davis, Jeffery P. January 2003 (has links) (PDF)
Thesis (M.B.A.)--Naval Postgraduate School, 2003. / Title from title screen (viewed Apr. 5, 2004). "December 2003." "ADA420489"--URL. Includes bibliographical references (p. 67-69). Also issued in paper format.
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Two-person games on strategies of irreversible investment /Lau, Wing Yan. January 2003 (has links)
Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2003. / Includes bibliographical references (leaves 104). Also available in electronic version. Access restricted to campus users.
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Real options evaluation of financial investment in flexible manufacturing systems in the automotive industryZhang, Duoxing, Evans, John L., January 2008 (has links) (PDF)
Thesis (Ph. D.)--Auburn University, 2008. / Abstract. Vita. Includes bibliographical references (p. 159-170).
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Strategic timing of investment extensions of real options theory and timing games, with private information, and an empirical application to foreign market entry /Anderson, Steven Todd. January 2003 (has links)
Thesis (Ph. D.)--University of California, Santa Cruz, 2003. / Typescript. Includes bibliographical references (leaves 161-169).
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Application of stochastic differential games and real option theory in environmental economics /Wang, Wen-Kai. January 2010 (has links)
Thesis (Ph.D.) - University of St Andrews, February 2010.
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Empirical testing of real options in the Hong Kong residential real estate marketYao, Huimin. January 2006 (has links)
Thesis (Ph. D.)--University of Hong Kong, 2006. / Title proper from title frame. Also available in printed format.
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Determining the value of a new company with specific reference to the real option pricing theoryDe Villiers, Dirk Christiaan 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: With the trends of business moving away from large, corporate companies to small,
flexible and innovative alternatives, the need to value new companies are becoming
important. A new company generally does not have substantial historical data
available and it is therefore difficult to determine potential revenue streams and
hence accurate valuations. The focus of this study is to find an appropriate method
to attempt the valuation of a new company and this is explained by means of a case
study.
Three basic approaches exist to value companies. The Discounted Cash Flow (DCF)
method analyses risk and return to estimate a discount rate and presents the value of
the company as a Net Present Value (NPV). Relative Valuation methods compare
the fundamentals of a company to that of other companies. Contingent Claim
Valuation methods base the value of a company on the fact that decisions may be
deferred into the future until more information is evident. The basis of this valuation
technique is that of Option Pricing Theory in which the Black-Scholes technique and
binomial models are used .: This method is normally used on assets that have optionlike
features e.g. equity in a company, natural resource rights, product patents or any
decision that may be deferred into the future. Decisions (options) deferred may be
identified as growth-, staged-, flexibility-, exit-, learning- and expanding options. This
is also known as the Real Option Pricing Theory.
According to this model the investment proposal may be mapped as a series of call
options (Luehrman, 1998a). The amount of money expended in the project
corresponds to the option's exercise price (X), the present value of the asset built or
acquired corresponds to the stock price (S), the length of time the company can defer
the investment decision corresponds to the option's time to expiration (t) and the
uncertainty about the future value of the project's cashflow corresponds to the
standard deviation of return on the stock (c). Seven steps are used to obtain the
value of the call option and the value is reflected by two option-value metries namely
the value-to-cost (NPVq) and cumulative volatility (cr--Jt).The two metries are plotteá
on a graph (defined as Options Space) in order to visualize and interpret the results.
Mushroom Biomedical Systems developed three highly novel and patented products.
The company was valued using the conventional OeF method and valued as a
staged investment using the Real Option Pricing Theory according to Luehrman's
model (1998a).
The values of two products are similar using the OeF and Real Options methods.
Most of the investment capital was required during the first phases of these products
resulting in the investment of the second phases not holding high risks or value. The
value of the third product is significantly higher using the Real Options method
compared to the OeF. This is ascribed to the forced delay of phase one. The value
of this future decision is worth more than the current decision due to expected new
information that might arise. By "creating an option" value is added by forcing
management to actively make two decisions about the continuation of the project at a
future date.
Applying Real Option Pricing Theory suggests inherent value in uncertainty when
there is freedom to choose different courses of action in the face of different market
conditions. With the OeF analysis the impact of risk is seen as depressing the value
of the investment. By contrast, real options show that risk can be influenced through
managerial flexibility, which becomes a central instrument to create value. / AFRIKAANSE OPSOMMING: Die beweging van die besigheidswêreld vanaf groot korporatiewe maatskappye na
kleiner, buigsame en innoverende alternatiewe het 'n behoefte geskep om die
waarde van sulke nuwe maatskappye te kan bepaal. 'n Nuwe maatskappy het tipies
nie historiese data beskikbaar nie wat die vooruitskatting van potensiële inkomste
strome en dus akkurate waardasies moeilik maak. Die fokus van hierdie studie is die
bepaling van 'n toepaslike metode om die waarde van 'n nuwe maatskappy te bepaal
en dit word deur middel van 'n gevalle studie verduidelik.
Drie basiese metodes bestaan om maatskappye te waardeer. Die Verdiskonteerde
Kontantvloei Stroom (VKS) metode gebruik risiko en opbrengs om 'n
verdiskonteringskoers te bepaal en reflekteer die waarde van die maatskappy as die
Netto Teenswoordige Waarde (NTW). Relatiewe Waardasie metodes vergelyk die
fundamentele eienskappe van 'n maatskappy met die van ander maatskappye. Die
Gebeurlikheids Waardasie metode koppel waarde aan die feit dat besluite uitgestel
kan word totdat meer informasie beskikbaar is. Die basis van hierdie tegniek is
Opsie Teorie waarin die Black-Scholes tegniek en binomiaal model gebruik word.
Hierdie metode word gewoonlik gebruik waar bates "opsie-tipe" eienskappe besit
soos aandeelhouding in 'n maatskappy, natuurlike mynregte; produk patente of enige
besluit wat uitgestel kan word na 'n datum in die toekoms. Besluite (opsies) wat
uitgestel word kan geïdentifiseer word as groei-, stap-vir-stap-, buigbaarheids-,
uittree-, lerings- en uitbreidingsopsies. Hierdie metode staan ook bekend as die
Ware Opsie Prysings Teorie.
Volgens hierdie metode kan 'n beleggingsgeleentheid voorgestel word as 'n reeks
koopopsies (Luehrman, 1998a). Die totale uitgawe word voorgestel deur die
uitoefeningsprys (X), die teenswoordige waarde van die bate word voorgestel deur
die aandeel waarde (S), die tydperk wat die besluit uitgestel kan word, word
voorgestel deur die opsie vervaltyd (t), en die onsekerheid van die bate se
kontantvloeistroom word voorgestel deur die standaardafwyking van die opbrengs
van die bate (c). Sewe stappe word geneem om die waarde van die koopopsie te
bepaal wat uitgedruk word deur twee opsiewaarde komponente naamlik waarde-tot-koste (NPVq) en kummulatiewe volatiliteit ((1'Jt). Die twee komponente word grafies
voorgestel (genoem Opsie Spasie) om resultate te visualiseer en te interpreteer.
Mushroom Biomedical Systems het drie unieke en gepatenteerde produkte
ontwikkel. Die maatskappy is met die konvensionele VKS metode gewaardeer en
volgens Luehrman (1998a) se Ware Opsie Prysings model as 'n stap-vir-stap opsie
gewaardeer.
Die waardes van twee van die produkte is dieselfde met die VKS metode en die
Opsie Teorie metode. Die meeste van die kapitaal is tydens die eerste fases van die
twee produkte benodig met die gevolg dat die tweede fases nie veel risiko of waarde
inhou nie. Die waarde van die derde produk is aansienlik meer met die Opsie Teorie
metode in vergelyking met die VKS metode. Dit word toegeskryf aan die gedwonge
vertraging van fase een. Die waarde gekoppel daaraan om die besluit in die
toekoms te neem is meer werd as om die besluit nou te neem a.g.v. verwagte nuwe
informasie. Deur hierdie opsie "te skep" word waarde toegevoeg omdat bestuur
gedwing word om aktief twee besluite in die toekoms te neem rakende die
voortsetting van die projek.
Die gebruik van Ware Opsie Prysings Teorie skep 'n inherente waarde wanneer daar
verskillende besluite geneem kan word soos mark kondisies verander. Met die VKS
metode word risiko gesien as 'n faktor wat waarde laat afneem. In teenstelling
hiermee dui die Ware Opsie Teorie dat risiko beïnvloed kan word deur bestuur se
vermoëns, wat 'n belangrike instrument is vir waardeskepping.
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Using real option analysis to manage project riskAgenbag, André 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: This study project aims to use "Real Option Analysis" as a tool to translate financial
hedging strategies into business strategies that can be used to hedge business projects
against their associated risks.
Financial investments are often hedged by means of further investment in financial
option structures. These option structures give the investor the option (and sometimes
the obligation) to change the constituents of his original investment, depending on
changes in the external environment. A well engineered option structure will protect the
investor against downside risk, while maximizing profits from upside risk. The objective
of this study project is then to adapt some of the standard structures to such an extent
that they can be used with similar success in the real business environment. This
adaptation is done by means of Real Option Analysis - a relatively new theory whereby
business uncertainty and managerial flexibility can be evaluated and quantified in a way
similar to financial options.
It will be seen that a careful application of Real Option Analysis allows one to take a
certain business situation, identify the risks inherent to it, find a suitable option structure
to hedge against those risks, and modify this option structure so that it can be
implemented as a pure business strategy. This analysis is supported by a detailed
derivation of a popular Real Option Analysis model, and an in depth discussion of the
differences between Real- and financial options as well as difficulties associated with the
implementation of Real Option-based strategies.
Several examples of specific business situations are analyzed and it is concluded that
Real Option Analysis can provide useful, practical and competitive strategies. Above all,
the thought process leading to said strategies is deemed to provide powerful insight into
the dynamics of the business/project under evaluation. / AFRIKAANSE OPSOMMING: Hierdie studie projek poog om "Real Option Analysis" te gebruik om finansiele
immuniserings strategiee om te skakel in besigheids strategiee wat gebruik kan word om
besigheids projekte te beskerm teen hul inherente risikos.
Finansiele beleggings word dikwels geimmuniseer deur middel van verdere beleggings
in finansiele opsie strukture. Hierdie strukture gee aan die belegger die opsie (en soms
die verpligting) om die samestelling van sy oorspronklike belegging aan te pas na
gelang van veranderinge in die omgewing. 'n Goed ontwerpte struktuur sal die belegger
toelaat om sy winste te maksimeer terwyl verliese as gevolg van negatiewe risiko beperk
word. Die doel van die studie projek is dan om sommige van hierdie standaard opsie
strukture aan te pas sodat dit nie net in die beleggings wereld nie, maar ook in die
besigheids wereld toegepas kan word. Hierdie aanpassing word gedoen met behulp van
"Real Option Analysis" - 'n relatief nuwe teorie waarvolgens besigheids onsekerhede
and bestuurs aanpasbaarhede geevalueer en gekwantifiseer kan word op 'n soortgelyke
wyse as finansiele opsies.
Dit sal gesien word dat 'n deeglike toepassing van "Real Option Analysis" die gebruiker
toelaat om 'n besigheids situasie te evalueer, die risikos daaran verbonde te identifiseer,
'n toepaslike opsie struktuur te vind wat beskerming sal bied teen hierdie risikos, en dan
hierdie struktuur aan te pas sodat dit as 'n besigheid strategie toegepas kan word.
Hierdie analise word ondersteun deur die afleiding van 'n populere "Real Option
Analysis" model, 'n bespreking van die verskille tussen Rieele- en finansiele opsies,
sowel as komplikasies wat verwag kan word tydens die implimentasie van 'n strategie
gebasseer op Rieele Opsies.
Verskeie voorbeelde van spesifieke besigheids situasies word geanaliseer en dit gee
aanleiding tot die gevolgtrekking dat "Real Option Analysis" wel sinvolle, bruikbare en
kompeterende strategiee kan voorsien. Verder word daar aangedui dat die denk proses wat lei tot hierdie strategiee, 'n kragtige bron van insig in die besigheid/projek dinamika
kan gee.
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Application of stochastic differential equations and real option theory in investment decision problemsChavanasporn, Walailuck January 2010 (has links)
This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In the first problem, we study an evolutionary stock market model in a continuous-time framework where uncertainty in dividends is produced by a single Wiener process. The model is an adaptation to a continuous-time framework of a discrete evolutionary stock market model developed by Evstigneev, Hens and Schenk-Hoppé (2006). We consider the case of fix-mix strategies and derive the stochastic differential equations which determine the evolution of the wealth processes of the various market players. The wealth dynamics for various initial set-ups of the market are simulated. In the second problem, we apply an entry-exit model in real option theory to study concessionary agreements between a private company and a state government to run a privatised business or project. The private company can choose the time to enter into the agreement and can also choose the time to exit the agreement if the project becomes unprofitable. An early termination of the agreement by the company might mean that it has to pay a penalty fee to the government. Optimal times for the company to enter and exit the agreement are calculated. The dynamics of the project are assumed to follow either a geometric mean reversion process or geometric Brownian motion. A comparative analysis is provided. Particular emphasis is given to the role of uncertainty and how uncertainty affects the average time that the concessionary agreement is active. The effect of uncertainty is studied by using Monte Carlo simulation. In the third problem, we study numerical methods for solving stochastic optimal control problems which are linear in the control. In particular, we investigate methods based on spline functions for solving the two-point boundary value problems that arise from the method of dynamic programming. In the general case, where only the value function and its first derivative are guaranteed to be continuous, piecewise quadratic polynomials are used in the solution. However, under certain conditions, the continuity of the second derivative is also guaranteed. In this case, piecewise cubic polynomials are used in the solution. We show how the computational time and memory requirements of the solution algorithm can be improved by effectively reducing the dimension of the problem. Numerical examples which demonstrate the effectiveness of our method are provided. Lastly, we study the situation where, by partial privatisation, a government gives a private company the opportunity to invest in a government-owned business. After payment of an initial instalment cost, the private company’s investments are assumed to be flexible within a range [0, k] while the investment in the business continues. We model the problem in a real option framework and use a geometric mean reversion process to describe the dynamics of the business. We use the method of dynamic programming to determine the optimal time for the private company to enter and pay the initial instalment cost as well as the optimal dynamic investment strategy that it follows afterwards. Since an analytic solution cannot be obtained for the dynamic programming equations, we use quadratic splines to obtain a numerical solution. Finally we determine the optimal degree of privatisation in our model from the perspective of the government.
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Empirical testing of real options in the Hong Kong residential real estate marketYao, Huimin., 姚惠敏. January 2006 (has links)
published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy
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