Relevant bibliographies by topics / Real Option

Academic literature on the topic 'Real Option'

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Published: 4 June 2021
Last updated: 1 June 2024

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Journal articles on the topic "Real Option"

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Munoz Cabanes, Alberto, Alfonso Herrero de Egana, and Arturo Romero. "Real option analysis. The viability of real estate projects." Investment Management and Financial Innovations 17, no. 4 (December 8, 2020): 271–84. http://dx.doi.org/10.21511/imfi.17(4).2020.24.

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Traditional methods used for real estate project valuation, such as the static Net Present Value, have some limitations, as these methods do not consider the possibility of a change in the initial conditions of the project or during its development. On the other hand, the real options approach allows for flexibility in evaluating a real estate project, improving the decision-making process as it helps identify the optimal strategy and timing for the construction phases. The paper deals with evaluating an actual real estate project in La Rioja (Spain) using different options to estimate its final Net Present Value. The results show that the real estate project would be profitable under several scenarios, although the valuations can vary significantly among the different types of options. This is because some options add more value to the project than others, depending on their cost and the uncertainty they eliminate. In contrast, the results obtained using the traditional static method would have led a real estate developer to discard the project completely, as its Net Present Value would have been negative. This confirms that the introduction of flexibility in real estate developments creates additional value by allowing developers and investors to dynamically react to changes in the market, thus making better investment decisions and finding real estate investment opportunities that otherwise would not be considered at all.
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Krüger, Niclas A. "To kill a real option – Incomplete contracts, real options and PPP." Transportation Research Part A: Policy and Practice 46, no. 8 (October 2012): 1359–71. http://dx.doi.org/10.1016/j.tra.2012.04.009.

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Mintah, Kwabena, David Higgins, Judith Callanan, and Ron Wakefield. "Staging option application to residential development: real options approach." International Journal of Housing Markets and Analysis 11, no. 1 (February 5, 2018): 101–16. http://dx.doi.org/10.1108/ijhma-02-2017-0022.

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Purpose Real option valuation is capable of accounting for uncertainties in residential development projects but still lacks practical adoption due to limited evidence to support application of the theory in practice. The purpose of this paper is to use option valuation to value staging option embedded in residential projects and compare with results from DCF to determine which of the two methods delivers superior results. Design/methodology/approach The fuzzy payoff method (FPOM), a real options model that uses scenario planning approach to generate a range of figures, from which a single-numerical value is computed for decision-making. Findings The results showed that the use of a range of figures was able to represent uncertainties to a higher degree of accuracy than the static DCF. As a result, the FPOM was able to capture about 3 per cent of the value of the project that was missed by the DCF. The staging option offers an opportunity to abandon unprofitable phases of a project, thereby limiting downside losses. Thus, real option models are practically applicable to cases in property sector. Practical implications Residential property developers must consider flexibility in financial feasibility evaluation of development because of the embedded value in uncertain property projects. It is important to account for optionality in financial evaluation of property projects for value maximisation. Originality/value The FPOM has been used for the first time to evaluate a horizontal phasing of a residential development project.
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Li, Songsong, Yinglong Zhang, and Xuefeng Wang. "The Sunk Cost and the Real Option Pricing Model." Complexity 2021 (September 30, 2021): 1–12. http://dx.doi.org/10.1155/2021/3626000.

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Although the academic literature on real options has grown enormously over the past three decades, hitherto an accurate real option pricing model has not been developed for investment decision analyses. In this paper, we propose a real option pricing model based on sunk cost characteristics, which can estimate the value of real options more accurately. First, we explore the distinctive features that distinguish real options from financial options. The study shows that the distinguishing feature of the real options is the sunk cost, which does not exist in the financial options. Based on the sunk cost characteristic of real options, we find that the exercise conditions of real and financial options are different. Second, we introduce the sunk cost into the intrinsic value function of real options and establish a new real option pricing model. Finally, this paper also discusses the properties of the intrinsic value function and pricing model of real options. We find that the application of the Black–Scholes option pricing model will overestimate the value of real options.
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Décaire, Paul H., Erik P. Gilje, and Jérôme P. Taillard. "Real Option Exercise: Empirical Evidence." Review of Financial Studies 33, no. 7 (August 28, 2019): 3250–306. http://dx.doi.org/10.1093/rfs/hhz092.

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Abstract We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables commonly associated with standard real option theories, such as volatility. We identify peer effects using localized exogenous variation in peer project exercise decisions and find evidence consistent with information externalities being important for exercise behavior. (JEL G30, G31, G32)
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Witjaksono, Armanto. "Real Option Analysis (ROA)." Winners 4, no. 1 (March 31, 2003): 54. http://dx.doi.org/10.21512/tw.v4i1.3804.

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Adetunji, Olubanjo Michael, and Akintola Amos Owolabi. "Valuation of Interacting Time-to-Build and Growth Real Options in Infrastructure Investments." International Journal of Economics and Finance 8, no. 12 (November 17, 2016): 202. http://dx.doi.org/10.5539/ijef.v8n12p202.

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This paper argues that real options approach presents a better valuation approach for valuing infrastructure investments when compared to traditional discounted cash flow approach. Managerial flexibilities, in various forms of real options, can be incorporated into infrastructure projects to expand the projects’ values. The paper identifies two key types of real options present in infrastructure investments as time-to-build and growth options and extends an earlier developed closed-form option valuation formula to value these options. The paper uses a numerical case of investment in railroad infrastructure project and shows that both types of real options, when embedded in infrastructure projects, add values to the projects. It however shows that the value of growth option is far more than the value of time-to-build option as growth options create opportunities for follow-on investments. It also shows that when the two options are present in an infrastructure investment, the time-to-build real option interacts with the growth option to reduce the latter’s value.
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Brandão, Luiz E., and James S. Dyer. "Decision Analysis and Real Options: A Discrete Time Approach to Real Option Valuation." Annals of Operations Research 135, no. 1 (March 2005): 21–39. http://dx.doi.org/10.1007/s10479-005-6233-9.

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Cong, Lin William. "Timing of Auctions of Real Options." Management Science 66, no. 9 (September 2020): 3956–76. http://dx.doi.org/10.1287/mnsc.2019.3374.

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This paper endogenizes auction timing and initiation in auctions of real options. Because bidders have information rent, a seller faces a “virtual strike price” higher than the actual exercise cost. The seller inefficiently delays the auction to encourage bidder participation and uses the irreversible nature of time to gain partial control over option exercises. The seller’s private benefit at option exercise may restore efficient auction timing, but option exercises are always inefficiently late. When the seller lacks commitment to auction timing, bidders always initiate in equilibrium, resulting in earlier option exercise and higher welfare than auctions proscribing bidder initiation. Overall, auction timing modifies the distribution of the bidder valuations and has important implications for bidding strategies, auction design, and real outcomes. This paper was accepted by Gustavo Manso, finance.
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Klepáč, Václav, Petr Kříž, and David Hampel. "Real options analysis in the engineering company practice." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 61, no. 7 (2013): 2303–9. http://dx.doi.org/10.11118/actaun201361072303.

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In this paper, we deal with the real options analysis of selected investment projects. This approach is supplemented and compared to calculations of the net present value (NPV). Two research problems are analyzed: acquisition of the simulation software for the foundry industry in the sense of the expansive options and options on leaving the project in the case of acquisition of the spectrometer. For the option valuation, there were used analytical and numerical methods like the Black-Scholes model, binomial model and Monte Carlo simulations. In the case of binomial pricing model we used modification describing the behavior of the project’s cash-flow (CF) due to capacity of the company, path-dependent addiction and embedded option barrier. To extend the application of the real options analysis, we propose procedures for sensitivity analysis and option pricing based on Monte Carlo simulations for particular case of stochastic volatility.
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Dissertations / Theses on the topic "Real Option"

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Sing, Tien Foo. "Real options in real estate : irreversibility, volatility and option premia in UK commercial property market." Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396039.

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Müller, Jürgen. "Real option valuation in service industries /." Wiesbaden : Dt. Univ.-Verl. [u.a.], 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008939946&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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SANTOS, MAURICIO SANT ANNA DOS. "A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO DEFER INVESTMENT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
O objetivo desta dissertação é demonstrar que mesmo em ambientes em que a decisão do individuo não segue a racionalidade, podemos obter uma estratégia ótima. Com o auxilio do equilíbrio evolucionariamente estável (ESS), conseguimos analisar casos diferentes da literatura usual de teoria dos jogos em que mesmo com escolhas sem racionalidade, encontramos a melhor estratégia, para tal usaremos a metodologia do jogo de opções, união entre a teoria dos jogos e a metodologia de opções reais, juntamente com o conceito de equilíbrio evolucionariamente estável (ESS). Isso é demonstrado através da modelagem de um mercado duopolista assimétrico, sujeito a incertezas. Neste trabalho as firmas são diferentes, existe um duopólio assimétrico. Aqui as empresas são não homogêneas porque uma empresa tem custo operacional mais baixo do que a outra para o mesmo investimento. Isto significa que uma empresa tem vantagem competitiva sobre a rival. Os resultados do modelo mostram que, dependendo do tipo de estratégia assumida pela empresa, é possível que a empresa de baixo custo se torne líder como na literatura usual e em alguns casos encontramos que diferente da expectativa usual é possível que a empresa de alto custo venha a se tornar líder e demonstra que a premissa de racionalidade não é necessária para a escolha inicial da empresa utilizando o conceito de ESS para definir o equilíbrio assim como foi feito no trabalho de Xiao e Yu (2006).
The objective of this dissertation is show that even in environments where the decision of the individual not follow rationality, we can get a optimal strategy. with the help of evolutionarily stable strategy, we analyze different cases of the usual literature on game theory that even with choices without rationality, we find the best strategy, for that we will use the option game methodology, which is the union between gaming theory methodology and option game methodology, with the concept of evolutionarily stable strategy (ESS). This is demonstrated through modeling of a duopolistic market, with uncertainties, in this dissertation firms are different. Here companies has no-Homogeneous cost because a company has lower operating costs than the other for the same investment. This means that a company has competitive advantage over rival. The model results show that, depending on the strategy assumed by the company it is possible that the low-cost company to become leader as usual in the literature and in some cases also shows that is possible to the high cost company to become leader and demonstrates that the premise of rationality are not necessary for choosing initial strategy, the company can find equilibrium using the concept of ESS to set the balance as was done in the paper of Xiao and YU (2006).
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PETRONI, DEBORA PIRES DE SOUZA. "REAL ESTATE ANALYSIS: A REAL OPTION AND GAME THEORY APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32834@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
No ramo imobiliário, a tomada de decisão deve ser rápida e precisa. São muitas as incertezas que podem afetar um projeto. Por isso, o Estudo de Viabilidade é fator determinante de sucesso ou fracasso de uma incorporação. Hoje o método de análise largamente utilizado é o do Fluxo de Caixa Descontado (FDC), onde o valor do projeto e seus parâmetros de resultado baseiam-se no Valor Presente Líquido (VPL) do fluxo. Porém, este método não considera as diferentes decisões gerenciais que podem ser tomadas durante a vida útil do empreendimento em função de novas informações adquiridas ao longo do tempo. A decisão gerencial pode atuar mudando o rumo do empreendimento de maneira a maximizar os resultados a serem obtidos e mensurar seu real valor. Este trabalho se propõe a, de forma simples, introduzir a ferramenta de análise pela Teoria de Opções Reais (TOR), abordada na literatura, mas ainda negligenciada pelo mercado imobiliário. Esta teoria utilizada isoladamente não é capaz de retratar o dia-a-dia do incorporador. No mercado, a TOR torna-se falha utilizada sem a abordagem da Teoria dos Jogos, por não considerar os efeitos nocivos da concorrência nos objetivos da empresa. Sendo assim, o objetivo foi não só auxiliar na melhor avaliação de projetos pela TOR, considerando incertezas das mudanças econômicas mundiais e flexibilidade de tomada de decisão na maximização do resultado, como também analisar pela Teoria dos Jogos, a influência dos concorrentes nos objetivos inerentes ao projeto.
In Real Estate, the decision must be fast and accurate. There are many uncertainties that may affect projects. Therefore, the economic feasibility study is a critical factor of success or failure of an estate project. Currently the widely used analytical method is the discounted cash flow, in which the project s outcome and value are based on Net Present Value of the cash flow. However, this method does not consider the various management decisions that may be taken during the project life. The management decision may influence changing the course of estate development to maximize the financial results and measure their real value. This work aims to, in a simple way, introduce the analytical tool for Real Options Theory (ROT), discussed in the literature, but still neglected by the real estate market. This theory used in isolation isn t able to portray the developers daily. In the real estate market, the ROT becomes incorrect used without the Game Theory concepts, disregarding the competition effect s on the company s goals. Therefore, this work goes beyond a better project assessment through ROT, considering economic uncertainties and flexibility on decision making, but also considering the perspective of game theory, adding the influence of competitors actions on projects goals.
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She, Yuling S. M. Massachusetts Institute of Technology. "Redevelopment option value for industrial property." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/127858.

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Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2020
Cataloged from the official PDF of thesis.
Includes bibliographical references.
This paper searches for the property value component due to existence of a redevelopment option. We do an empirical study based on over 6,600 industrial property transactions across United States from 2000 to 2018. This can be seen as a discovery journey of improving the methodology in identifying and evaluating the redevelopment option value embedded in the transaction price of such property traded among investors in the private property market. Starting from simple OLS regression, we observed a reverse causality phenomenon between property sales price and a dummy variable of the intention to redevelop the property, in which the redevelopment flag was associated with lower priced properties. The journey then ended up verifying the improvement in the most advanced methodology that academics on the frontier apply in studying the value of the redevelopment option. This advanced methodology by Buechler et al (2020)1 deploys an empirical analysis strategy using a probit model to develop a redevelopment propensity metric, instead of the dummy variable of redevelopment intention. We apply this methodology to solve the endogeneity problem with the original simple OLS regression, and we find that industrial properties have an average redevelopment probability of 0.22, which generates option value of $5.8/sqft (land), or 19% of the average property price per square foot of land ($30.2/sqft(land)). Comparing our study findings for industrial property with that of the Buechler et al study (2020) which is on all property types, the implication is that on average redevelopment option value tends to be a greater percentage of industrial property value than for the other types of commercial properties. The option value is not necessarily greater in absolute terms, but relative to the value of the property. These results apply on average to all industrial properties, not just to those sold specifically to be redeveloped.
by Yuling She.
S.M. in Real Estate Development
S.M.inRealEstateDevelopment Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate
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Fischer, Andreas. "The real option process in strategic management /." Bamberg : Difo-Druck, 2002. http://www.gbv.de/dms/zbw/356760855.pdf.

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Djokovic, Djordje. "High technology commercialisation : a real option approach." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1112/.

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The impact of uncertainty in the commercialization lifecycle of new technologies is a complex phenomenon. Technologies are research intensive and exposed to uncertainty regarding their successful development and functionality. Further these technologies have to be absorbed by volatile markets in order to be commercialized. These different forms of uncertainty are of primary importance for decision makers but have not been thoroughly studied in previous technology commercialization research and put under one theoretical framework. The main focus of this thesis is to comprehend the recently growing trend among universities and public research organizations to commercialize their research activities from an empirical and theoretical perspective. More particularly the thesis focuses on the life cycle of two main commercialization streams namely the entry and exit of university spinouts, which are companies that evolve from intellectual property developed within academic institutions as well as the licensing and licensing termination of inventions. The main focus of the thesis therefore analysesmarket and technological uncertainty and explains the conditions under which spinout formation, spinout failure, licensing and licensing failure occur by putting them under the theoretical framework of real option theory.
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ALVES, MARIANA DE LEMOS. "FLEX FUEL CAR: A REAL OPTION VALUATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10553@1.

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A tecnologia flex fuel foi desenvolvida pelo centro de pesquisas da Bosch do Brasil e lançado comercialmente no país em 2003. O conceito desse automóvel originou-se da possibilidade do carro utilizar como combustível álcool, gasolina ou qualquer proporção de mistura entre os dois em um mesmo tanque de combustível. Essa flexibilidade na escolha do combustível do carro flex fuel e a existência de incerteza com relação ao preço do álcool e da gasolina, agregam valor ao automóvel, pois o consumidor pode escolher o combustível mais barato toda vez que abastece o veículo. Este trabalho busca valorar essa vantagem do carro flex fuel em relação ao automóvel movido apenas à gasolina através da avaliação por Opções Reais, utilizando o Método de Simulação com Fluxos de Caixa Dinâmicos, e comparar as vantagens da Simulação de Monte Carlo em relação ao modelo de Árvore de Decisão Quadrinomial. Os resultados indicam que a opção inerente ao carro flex fuel é relevante para a decisão de adquirir um veiculo flex fuel e pode representar de 5% a 10% do seu valor.
The flex fuel car technology was developed by the Bosch Research Center in Brazil, and the firs model was launched in the market in 2003. The concept of flex fuel automobile derived from the possibility of using ethanol, gas or any proportion of this mixture in a fuel tank. The fuel flexibility and its price volatility add value to the vehicle because the consumer has the option to choose the cheapest fuel each time he needs it. We perform the valuation of the flex fuel automobile using Real Options Approach to Dynamic Cash Flow Simulation. The results show that the value of the flex fuel option is significant and can represent from 5% to 10% of the price of the automobile. We also compare this method to the quadrinomial decision tree model and show that while both provide similar results, the simulation method is similar and less computationally intensive.
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Bhargav, Shilpa Anandrao. "Impacts of project management on real option values." Thesis, Texas A&M University, 2004. http://hdl.handle.net/1969.1/1455.

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The cost of construction projects depends on their size, complexity, and duration. Construction management applies effective management techniques to the planning, design, and construction of a project from conception to completion for the purpose of controlling time, cost and quality. A real options approach in construction projects, improves strategic thinking by helping planners recognize, design and use flexible alternatives to manage dynamic uncertainty. In order to manage uncertainty using this approach, it is necessary to value the real options. Real option models assume independence of option holder and the impacts of underlying uncertainties on performance and value. The current work proposes and initially tests whether project management reduces the value of real options. The example of resource allocation is used to test this hypothesis. Based on the results, it is concluded that project management reduces the value of real options by reducing variance of the exercise signal and the difference between exercise conditions and the mean exercise signal.
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Blanck, Andreas. "American Option Price Approximation for Real-Time Clearing." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144435.

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American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. However, this advantage aggravates the mathematical formulation of an option's value considerably, explaining why essentially no exact closed-formed pricing formulas exist. Numerous price approximation methods are although available, but their possible areas of application as well as performance, measured by speed and accuracy, differ. A clearing house offering real-time solutions are especially dependent on fast pricing methods to calculate portfolio risk, where accuracy is assumed to be an important factor to guarantee low-discrepancy estimations. Conversely, overly biased risk estimates may worsen a clearing house's ability to manage great losses, endangering the stability of a financial market it operates. The purpose of this project was to find methods with optimal performance and to investigate if price approximation errors induce biases in option portfolios' risk estimates. Regarding performance, a Quasi-Monte Carlo least squares method was found suitable for at least one type of exotic option. Yet none of the analyzed closed-form approximation methods could be assessed as optimal because of their varying strengths, where although the Binomial Tree model performed most consistently. Moreover, the answer to which method entails the best risk estimates remains inconclusive since only one set of parameters was used due to heavy calculations. A larger study involving a broader range of parameter values must therefore be performed in order to answer this reliably. However, it was revealed that large errors in risk estimates are avoided only if American standard options are priced with any of the analyzed methods and not when a faster European formula is employed. Furthermore, those that were analyzed can yield rather different risk estimates, implying that relatively large errors may arise if an inadequate method is applied.
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Books on the topic "Real Option"

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Trigeorgis, Lenos. Real option interdependencies. Boston, MA: Boston University, School of Management, 1992.

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Morel, Benoit. Real Option Analysis and Climate Change. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-12061-0.

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Müller, Jürgen. Real Option Valuation in Service Industries. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-322-99299-4.

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Failure is not an option: Delbert McDougal : a developer's unconventional wisdom. San Antonio, Tex: Historical Pub. Network, 2007.

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Avon, (England) Highways Transport and Engineering Department. Cycling to work in North Bristol: A real option. Bristol: AvonCounty Council, 1995.

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Lucier, Thomas. How to Make Money With Real Estate Options. New York: John Wiley & Sons, Ltd., 2005.

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Toivanen, O. Investment, search and competition: Innovation adoption as a real option. Coventry: University of Warwick. Warwick Business School Research Bureau, 1995.

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Plato, Gerald E. The soybean processing decision: Exercising a real option on processing margins. Washington, D.C.?]: Economic Research Service, USDA, 2001.

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Ang, Andrew. Locked up by a lockup: Valuing liquidity as a real option. Cambridge, MA: National Bureau of Economic Research, 2010.

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Howell-Carey, Chantal. The new path to real estate wealth: Earning without owning. Hoboken, N.J: John Wiley & Sons, 2004.

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Book chapters on the topic "Real Option"

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Davis, Mark, Walter Schachermayer, and Robert G. Tompkins. "The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options." In Real Options, 77–96. Wiesbaden: Gabler Verlag, 2004. http://dx.doi.org/10.1007/978-3-663-12338-5_3.

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Thorsen, Bo J., and Nikolaj Malchow-Møller. "Afforestation as a real option: Choosing among options." In Recent Accomplishments in Applied Forest Economics Research, 73–80. Dordrecht: Springer Netherlands, 2003. http://dx.doi.org/10.1007/978-94-017-0279-9_6.

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Rogers, Jamie. "Option Pricing Methods." In Strategy, Value and Risk — The Real Options Approach, 74–84. London: Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230513051_11.

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Simberloff, Daniel. "Eradication: Pipe Dream or Real Option?" In Plant Invasions in Protected Areas, 549–59. Dordrecht: Springer Netherlands, 2013. http://dx.doi.org/10.1007/978-94-007-7750-7_25.

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Taudes, Alfred, Martin Natter, and Michael Trcka. "Real Option Valuation with Neural Networks." In Industrial and Engineering Applications of Artificial Intelligence and Expert Systems, 611–17. London: CRC Press, 2022. http://dx.doi.org/10.1201/9780429332111-103.

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Schoenmaker, Dirk, and Willem Schramade. "Options." In Springer Texts in Business and Economics, 579–622. Cham: Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-35009-2_19.

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AbstractFinancial options are contracts that give the owner the right to buy (in the case of a call option) or sell (in the case of a put option) a security at a pre-specified price (the exercise price). The flexibility is on the side of the buyer, but the seller is compensated with a premium paid by the buyer. Sophisticated models have been developed to determine the value of options. Options are interesting since they offer an alternative way of tying payoffs to (future) situations, also outside of contractual settings. In that case, they are called real options. Real options come in various types, such as the option to delay, the option to expand, and the option to abandon. One can analyse many situations as combinations of options, and one can visualise them with decision trees and payoff graphs for a better intuitive grasp of situations.Real options on financial (F) factors can have environmental (E) or social (S) drivers: payoff in terms of F, but with E or S as the underlying values. There are also real options on E and S themselves, i.e. with the payoffs in terms of E and S, and possibly the underlying values as well. In fact, companies are short a lot of options against society, but awareness of it is low. The interactions between F, S, and E options call for an integrated view on options, which helps make these options and their trade-offs more explicit.
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Leishman, Chris. "Option Pricing Theory and Real Estate Research." In Real Estate Market Research and Analysis, 175–92. London: Macmillan Education UK, 2003. http://dx.doi.org/10.1007/978-1-137-11281-1_10.

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Jaimungal, Sebastian, and Yuri Lawryshyn. "Incorporating Managerial Information into Real Option Valuation." In Commodities, Energy and Environmental Finance, 213–38. New York, NY: Springer New York, 2015. http://dx.doi.org/10.1007/978-1-4939-2733-3_8.

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Ching, Wai-Ki, Xun Li, Tak Kuen Siu, and Zhenyu Wu. "Improving Revenue Management: A Real Option Approach." In Innovative Quick Response Programs in Logistics and Supply Chain Management, 123–39. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-04313-0_6.

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Rueger, W. "Investing in PACS using real option theory." In Digital (R)Evolution in Radiology, 307–14. Vienna: Springer Vienna, 2001. http://dx.doi.org/10.1007/978-3-7091-3707-9_34.

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Conference papers on the topic "Real Option"

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Jafarizadeh, Babak, and Reidar Brumer Bratvold. "Taking Real Options Into the Real World: Asset Valuation Through Option Simulation." In SPE Annual Technical Conference and Exhibition. Society of Petroleum Engineers, 2009. http://dx.doi.org/10.2118/124488-ms.

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Lukose, Rajan M., and Bernardo A. Huberman. "Surfing as a real option." In the first international conference. New York, New York, USA: ACM Press, 1998. http://dx.doi.org/10.1145/288994.289003.

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Düzakın, Hatice, and Süreyya Yılmaz. "Investment Project Evaluation By Real Option Method: Example of Entrepreneurship Investment." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02512.

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The real option method, which emerged in the 1980s and is based on financial options, has been heavily involved in the literature since the early 2000s. Calculated by adding option value to investments in real assets, this method offers managers opportunities to evaluate the investment project. While the traditional capital budgeting method cannot be changed during the decision project process taken when evaluating the investment project, the real option method can be changed throughout the project process. The reason for this situation is that the real option method does not ignore the managerial flexibility. The reason for this situation is that the real option method does not ignore the managerial flexibility. In this study, these two methods in the literature are examined according to the types of projects.
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Qiu, Hong. "Research on carbon option pricing based on the real option theory." In Proceedings of the International Conference on Civil, Architecture and Environmental Engineering (ICCAE2016). CRC Press/Balkema P.O. Box 11320, 2301 EH Leiden, The Netherlands: CRC Press/Balkema, 2017. http://dx.doi.org/10.1201/9781315116242-2.

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Junjun Han, Jie Xiang, Juliang Zhang, and Guowei Hua. "Dual sourcing problem with real option." In 2016 IEEE International Conference on Systems, Man, and Cybernetics (SMC). IEEE, 2016. http://dx.doi.org/10.1109/smc.2016.7844286.

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Yasseri, S. "Real Option Reasoning in Defence Acquisition." In Warship 2009: Air Power at Sea. RINA, 2009. http://dx.doi.org/10.3940/rina.ws.2009.12.

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Greden, Lara V., Leon R. Glicksman, and Gabriel Lopez-Betanzos. "A Real Options Methodology for Evaluating Risk and Opportunity of Natural Ventilation." In ASME 2005 International Solar Energy Conference. ASMEDC, 2005. http://dx.doi.org/10.1115/isec2005-76088.

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The variable, uncertain nature of climate imposes risk in using solar and building technologies, such as natural ventilation (NV). To maximize the potential benefit from NV while reducing risk, a building could be designed for NV along with the “real option” to install mechanical cooling in the future, if needed. Traditional evaluation procedures use expected values, which fail to acknowledge the value of uncertainty when system performance is a non-linear function of the uncertain variable. A real options methodology is proposed to evaluate the flexible building design under climate uncertainty. A building energy simulation is used to obtain probability distributions of the cost savings of the option-based NV strategy and of the time when (if) the mechanical cooling system is installed. A simplified stochastic temperature generator is used, and it may be used to evaluate real options for other technologies sensitive to future climate. The results of a real options analysis provide information to project investors on a) the likelihood of exercising the option, and b) the improved financial value of the technology when implemented with a flexible strategy.
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Hozman, Jiří, and Tomáš Tichý. "DGM for real options valuation: Options to change operating scale." In Programs and Algorithms of Numerical Mathematics 21. Institute of Mathematics, Czech Academy of Sciences, 2023. http://dx.doi.org/10.21136/panm.2022.08.

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The real options approach interprets a flexibility value, embedded in a project, as an option premium. The object of interest is to valuate real options to change operating scale, typical for natural resources industry. The evolution of the project as well as option prices is decribed by partial differential equations of the Black-Scholes type, linked through a payoff function given by a type of the flexibility provided. The governing equations are discretized by the discontinuous Galerkin method over a finite element mesh and they are integrated in temporal variable by an implicit Euler scheme. The special attention is paid to the treatment of early exercise feature that is handled by additional penalty term. The capabilities of the approach presented are documented on the selected individual real options from the reference experiments using real market data.
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Akakandelwa, Nalumino. "Real Option Valuation of Development land in Windhoek." In 11th African Real Estate Society Conference. African Real Estate Society, 2011. http://dx.doi.org/10.15396/afres2011_111.

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Heredia-Zavoni, Ernesto, and Sandra Santa-Cruz. "Maintenance Decisions for Offshore Structures Using Real Options Theory." In ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51467.

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Real Options methods are currently used to assess investment projects considering: (1) the decision options that one can have along the development of the project, such as to expand it, or reduce it, or to abandon it, or to differ it, and (2) the uncertainty in some financial variables for the assessment of the economic investment. In these two regards, Real Options methods are superior to the traditional Net Present Value method. The purpose of the present paper is to establish the basis for Real Options modeling for decision making on design, inspection, maintenance, and decommissioning of offshore structures. The use of Real Options theory is sought in order to account for: (1) uncertainties in the financial variables involved in risk assessment based on expected costs, such as the economic consequences due to failure of a system; and (2) uncertainties associated with the resistance and loading of the structure for reliability assessment. An application of Real Options Theory is given in the paper for decision making on maintenance for an offshore structure. Cash flow from oil revenue is modeled as a stochastic process. Preventive and corrective maintenance is analyzed as a critical situation where the decision maker has the option to pay the costs of maintenance in order to obtain a benefit. Expressions are derived for the estimation of the value of the maintenance option; they are based on the derivation of the Black-Scholes equation for the evaluation of financial options. It is shown that the value of such project is equal to the sum of the net cash flow of the project (as with a Net Present Value evaluation) plus the value of the maintenance option. Projects with one and two decision times along the life of the structure are formulated and analyzed. Closed form solutions are obtained for such cases. An example is given in order to illustrate the differences between maintenance decisions using the Net Present Value and the Real Options method.
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Reports on the topic "Real Option"

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Décaire, Paul, Erik Gilje, and Jérôme Taillard. Real Option Exercise: Empirical Evidence. Cambridge, MA: National Bureau of Economic Research, February 2019. http://dx.doi.org/10.3386/w25624.

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Dai, Min, Zhaoli Jiang, and Neng Wang. Strategic Real Option Exercising and Second-mover Advantage. Cambridge, MA: National Bureau of Economic Research, June 2022. http://dx.doi.org/10.3386/w30150.

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Ang, Andrew, and Nicolas P. B. Bollen. Locked Up by a Lockup: Valuing Liquidity as a Real Option. Cambridge, MA: National Bureau of Economic Research, April 2010. http://dx.doi.org/10.3386/w15937.

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Ceccagnoli, Marco, Matthew Higgins, and Hyunsung Kang. Corporate Venture Capital as a Real Option in the Markets for Technology. Cambridge, MA: National Bureau of Economic Research, July 2015. http://dx.doi.org/10.3386/w21424.

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Upadhyaya, Shrini K., Abraham Shaviv, Abraham Katzir, Itzhak Shmulevich, and David S. Slaughter. Development of A Real-Time, In-Situ Nitrate Sensor. United States Department of Agriculture, March 2002. http://dx.doi.org/10.32747/2002.7586537.bard.

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Although nitrate fertilizers are critical for enhancing crop production, excess application of nitrate fertilizer can result in ground water contamination leading to the so called "nitrate problem". Health and environmental problems related to this "nitrate problem" have led to serious concerns in many parts of the world including the United States and Israel. These concerns have resulted in legislation limiting the amount of nitrate N in drinking water to 10mg/g. Development of a fast, reliable, nitrate sensor for in-situ application can be extremely useful in dynamic monitoring of environmentally sensitive locations and applying site-specific amounts of nitrate fertilizer in a precision farming system. The long range objective of this study is to develop a fast, reliable, real-time nitrate sensor. The specific objective of this one year feasibility study was to explore the possible use of nitrate sensor based on mid-IR spectroscopy developed at UCD along with the silver halide fiber ATR (i.e. attenuated total internal reflection) sensor developed at TAU to detect nitrate content in solution and soil paste in the presence of interfering compounds. Experiments conducted at Technion and UCD clearly demonstrate the feasibility of detecting nitrate content in solutions as well as soil pastes using mid-IR spectroscopy and an ATR technique. When interfering compounds such as carbonates, bicarbonates, organic matter etc. are present special data analysis technique such as singular value decomposition (SYD) or cross correlation was necessary to detect nitrate concentrations successfully. Experiments conducted in Israel show that silver halide ATR fiber based FEWS, particularly flat FEWS, resulted in low standard error and high coefficient of determination (i.e. R² values) indicating the potential of the flat Fiberoptic Evanescent Wave Spectroscopy (FEWS) for direct determinations of nitrate. Moreover, they found that it was possible to detect nitrate and other anion concentrations using anion exchange membranes and M1R spectroscopy. The combination of the ion-exchange membranes with fiberoptices offers one more option to direct determination of nitrate in environmental systems.
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Myers, Stewart, and James Read. Real Options, Taxes and Financial Leverage. Cambridge, MA: National Bureau of Economic Research, June 2012. http://dx.doi.org/10.3386/w18148.

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Bulan, Laarni, Christopher Mayer, and C. Tsuriel Somerville. Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development. Cambridge, MA: National Bureau of Economic Research, August 2006. http://dx.doi.org/10.3386/w12486.

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Pindyck, Robert. Sunk Costs and Real Options in Antitrust. Cambridge, MA: National Bureau of Economic Research, June 2005. http://dx.doi.org/10.3386/w11430.

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Miltersen, Kristian, and Eduardo Schwartz. Real Options With Uncertain Maturity and Competition. Cambridge, MA: National Bureau of Economic Research, March 2007. http://dx.doi.org/10.3386/w12990.

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Schwartz, Eduardo. Patents and R&D as Real Options. Cambridge, MA: National Bureau of Economic Research, November 2003. http://dx.doi.org/10.3386/w10114.

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