Relevant bibliographies by topics / Real options

Academic literature on the topic 'Real options'

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Published: 4 June 2021
Last updated: 10 March 2023

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Journal articles on the topic "Real options"

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Sick, Gordon A., and Lenos Trigeorgis. "Real Options." Journal of Finance 51, no. 5 (December 1996): 1974. http://dx.doi.org/10.2307/2329548.

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Mills, Roger. "Real Options." Henley Manager Update 17, no. 2 (December 2005): 1–12. http://dx.doi.org/10.1177/174578660501700201.

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Mills, Roger. "Real Options." Henley Manager Update 17, no. 3 (March 2006): 1–12. http://dx.doi.org/10.1177/174578660601700301.

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Kulcsár, Edina. "Managing risk using real options in company’s valuation." Acta Agraria Debreceniensis, no. 58 (April 8, 2014): 125–32. http://dx.doi.org/10.34101/actaagrar/58/1984.

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The valuation of company is very important because provides information about the current value/situation of company, and through this, provide the opportunity of choosing the best company’s growth alternatives. The future strategic decisions are characterized by lack of knowledge, information, so all measures of company’s growth are closely linked with uncertainty and risk. The company’s valuation process is also related with uncertainty and risk. The risk may result both from the assessed assets and the technique used. In literature, we could find three approaches for risk management: capital budgeting based method, methods based on portfolio analysis and real options approach of risk management. Among them, the real options based methods is the most revolutionary approach for risk management. The advantages of the method, consists in the fact, that the process of establishing strategic decisions integrates the possibility of reversibility, delay and rejections, which isn’t it possible at two previous methods. The method also takes into account the total risk of company, so both the company-specific and systematic risk. In this study, I have used one of the best-known real option based method, the Black-Scholes model, for determining the option’s value. Determination of option value is based on the data of enterprise, which was tested Monte Carlo simulation. One of the basic assumptions of the Black-Scholes model is that the value of option is influenced by several factors. The sensitivity of option’s value could be carried out with so-called “Greeks”.. In the study the sensitivity analysis, was carried out with indicators Delta (Δ), Gamma (Γ) and Vega (ν). The real options based risk management determinations were performed in the R-statistics software system, and the used modules are 'fPortofio' and 'mc2d'. By using of real options method, I have calculated the average value of company capital equal with 38.79 million. By using simulation was carried out 1000 runs. The results of this show a relatively low standard deviation, small interquartile range and normal distribution. In the calculation of indicator Delta, could be concluded the value of company moves in 0.831 proportion to the price of options, the standard deviations of index is low, so the real option based method could be used with success in company’s value estimation. The Gamma index shows the enterprise value is sensitive just for large changes. The result of Vega reflects the value of option, so the company’s value volatility, which is small in this case, but this means a volatility of value. In summary, we can conclude that the call options pricing model, well suited for the determination of company’s value.
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Adner, Ron, and Daniel A. Levinthal. "Real Options and Real Tradeoffs." Academy of Management Review 29, no. 1 (January 2004): 120–26. http://dx.doi.org/10.5465/amr.2004.11851738.

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Zarkos, Stefanos, Robert E. Morgan, and Yiannis Kouropalatis. "Real options and real strategies." Strategic Change 16, no. 7 (November 2007): 315–25. http://dx.doi.org/10.1002/jsc.802.

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SO, LEH-CHYAN. "ARE REAL OPTIONS "REAL"? ISOLATING UNCERTAINTY FROM RISK IN REAL OPTIONS ANALYSIS." Annals of Financial Economics 09, no. 01 (June 2014): 1450001. http://dx.doi.org/10.1142/s2010495214500018.

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This paper derives an adjusted Black–Scholes pricing formula. In separating risk and uncertainty using the robust control technique, we find that both uncertainty and risk raise management's subjective evaluation of real options. We suggest a simple method to filter the risk of the project and to acquire a more reliable value of real options without the influence of uncertainty. In addition, we propose that an investment opportunity may be postponed inappropriately, as under uncertainty the exercise of investment may be delayed by the project manager. To our knowledge, any similar quantitative methods have not hitherto been mentioned in terms of isolating uncertainty from risk in real options analysis that we consider here.
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Copeland, Thomas E. "From Expected Cash Flows to Real Options." Multinational Finance Journal 14, no. 1/2 (June 1, 2010): 1–27. http://dx.doi.org/10.17578/14-1/2-1.

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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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Dissertations / Theses on the topic "Real options"

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Gunnelin, Åke. "Real options in real estate." Doctoral thesis, KTH, Fastigheter och byggande, 2000. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-2982.

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This is a doctoral dissertation presented to the FacultyBoard of the Royal Institute of Technology. The dissertationconsists of three self-contained essays on real option pricing.Essay I, written in Swedish, was presented at seminar andaccepted as fulfilling the requirement for a Licentiate Degreein Engineering thesis in 1995. Essay I: This essay studies the option to develop vacantland when the landowner simultaneously determines the optimaldensity and timing of a development. Williams (1991) andCapozza and Li (1994) have recently studied the landdevelopment decision from a realoptions perspective. Bothpapers assume that the production technology is of the commonlyused Cobb-Douglas type, but they use different assumptionsabout uncertainty over future rents and construction costs. Ananalysis of these models and their limitations is carried outand as a result valuation models based on other productiontechnologies than the Cobb-Douglas technology are derived. Essay II: McDonald and Siegel (1996) show that when thebenefit from an investment and the investment cost are assumedto follow correlated geometric Brownian motions, the optimalinvestment policy is given by a simple rule: Invest the firsttime the benefit-cost ratio reaches a certain level. In thisessay, which models the decision to change the use ofaproperty, the investment rule is found to be more complicated.Optimal redevelopment will take place for differentbenefit-cost ratios depending on the relative sizes of thevalue of the property in the different uses and the cost ofchanging the use. Also, for a given current benefit-cost ratiothe value of the option to change use will vary significantlydepending on the relative sizes of the state variables. Essay III: The relationship between the option to choose thecapacity of a real estate development and deliberateoverbuilding is studied in a simple model of investment underuncertainty. The model provides an intuitive measure ofdeliberate overbuilding: the difference between the number ofrental units the owner of an undeveloped site optimally choosesto produce and the number of units expected to be leased at thetime of the building's completion. Numerical simulations withreasonable parameter values show that in some economicenvironments, the optimal production strategy can be to producemore units than are expected to be leased at completion of thedevelopment.

QC 20100611

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Ho-Shon, Kevin Peter. "Real Estate Leases and Real Options." Thesis, The University of Sydney, 2008. http://hdl.handle.net/2123/3692.

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This thesis builds on the real estate lease model of Grenadier which consists of the Black Scholes PDE and an upper reflecting boundary condition. Extending the method of images of Buchen, a new technique was developed to solve this class of problems. Problems that previously required difficult integration can now be solved with algebra and simple integrals. In addition, the compound option in this framework is solved using this new technique. To the best of our knowledge the solution of the compound problem has not been published. An interesting symmetry between this class of problems and the lookback option was also discovered and described in this thesis. The extension of the method of images to include problems with the reflecting boundary condition in the context of real estate leases was presented at the Financial Integrity Research Network Doctoral Tutorials at the University of Technology, Sydney, in 2006. The presentation was awarded the ``FIRN Best Paper Award''. This paper has been submitted to the Journal of Financial Mathematics for publication. The solution to the compound problem in the context of the upward-only market review option is the subject of the next paper.
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Ho-Shon, Kevin Peter. "Real Estate Leases and Real Options." University of Sydney, 2008. http://hdl.handle.net/2123/3692.

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Doctor of Philosophy(PhD)
This thesis builds on the real estate lease model of Grenadier which consists of the Black Scholes PDE and an upper reflecting boundary condition. Extending the method of images of Buchen, a new technique was developed to solve this class of problems. Problems that previously required difficult integration can now be solved with algebra and simple integrals. In addition, the compound option in this framework is solved using this new technique. To the best of our knowledge the solution of the compound problem has not been published. An interesting symmetry between this class of problems and the lookback option was also discovered and described in this thesis. The extension of the method of images to include problems with the reflecting boundary condition in the context of real estate leases was presented at the Financial Integrity Research Network Doctoral Tutorials at the University of Technology, Sydney, in 2006. The presentation was awarded the ``FIRN Best Paper Award''. This paper has been submitted to the Journal of Financial Mathematics for publication. The solution to the compound problem in the context of the upward-only market review option is the subject of the next paper.
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Lund, Simon Corvinius. "Real optioner og investering under usikkerhed = Real Options and Investment under Uncertainty /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. http://mit.econ.au.dk/Library/Specialer/2008/20020768.pdf.

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Brosch, Rainer. "Portfolios of real options." Berlin Heidelberg Springer, 2008. http://d-nb.info/988972077/34.

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Sattarnusart, Warut. "Real Options in Real Estate Development Investment." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-98100.

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Real estate development investment requires a large capital funding but it has slow payback with many risks and uncertainties in the investment. The current approach by using NPV to evaluate this type of investment is not adequate anymore. This is because NPV does not thoroughly capture the uncertainties in the investment and the method ignores the management flexibility whether to postpone or abandon the project in the future. An alternative approach that addresses these issues is to use real options to evaluate this type of investment. The thesis uses the real option model that was proposed by McDonald and Siegel (1986) to evaluate real estate development investment. The model captures value and cost uncertainty in the investment and considers that managements have the flexibility to defer the investment into the future. The thesis analyzes the model critically by sensitivity analyses and shows that using the model requires the input parameters to be carefully determined, especially the ones that relate to unit rental rate.  Furthermore, the paper uses Monte Carlo simulation to determine the optimal ratio between value and cost which suggests that the investment should be deferred or invested now. The result shows that, in general, a real estate project should be invested when the value of the project doubles the cost. Also, the result from the simulation allows investors to adjust the ratio according to their risk behavior. Lastly, the thesis performs another Monte Carlo simulation in order to quantitatively identify the effect of the real option model on the investment decision. The result shows that using only the traditional NPV to evaluate the investment can lead to the wrong investment decision more than 90% of the time. Therefore, using both real options and NPV together can improve investment decisions on the real estate development project.
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Friedl, Gunther. "Real options and investment incentives." Berlin ; New York : Springer, 2007. http://site.ebrary.com/id/10161175.

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Reiss, Arie. "Pricing options on real distributions." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.272108.

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Duckworth, Julia Kate. "Mathematical models for real options." Thesis, University of Newcastle Upon Tyne, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.394677.

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Tan, Enk Ee 1968. "Real options valuation of eBusiness." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9154.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2000.
Includes bibliographical references.
Traditional funding criteria like return on investment (ROI) and net present value (NPV) do not work well with most eBusiness. These corporate budgeting techniques were designed for relatively slow progressing or well-established business models. The Internet marketplace is constantly being redefined and most of these projects have a high velocity of evolution and uncertainty. Firms and investors have yet to possess systematic and quantitative financial evaluation tools. After studying the behavior of Internet firm valuations and exhaustively investigating the conventional ways of valuing an eBusiness, this paper finds that real options valuation is an extremely useful analytical tool for valuing eBusiness projects from the management's perspective. It provides management a powerful extension of the traditional cash flow budgeting models, and a structure to attach and quantify strategies. Real options valuation in its current form, however, is not entirely suitable for the use as a valuation tool for traded stocks.
by Enk Ee Tan.
M.B.A.
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Books on the topic "Real options"

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Dangl, Thomas, Michael Kopel, and Wolfgang Kürsten, eds. Real Options. Wiesbaden: Gabler Verlag, 2004. http://dx.doi.org/10.1007/978-3-663-12338-5.

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Sick, Gordon. Real options. [New Haven, CT]: Yale School of Organization and Management, 1994.

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Peters, Linda. Real Options Illustrated. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-28310-4.

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Schulmerich, Marcus. Real Options Valuation. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-12662-8.

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Mun, Johnathan, ed. Real Options Analysis. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119201618.

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Schöne, Max. Real Options Valuation. Wiesbaden: Springer Fachmedien Wiesbaden, 2015. http://dx.doi.org/10.1007/978-3-658-07493-7.

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W, Tong Tony, and Reuer J. J, eds. Real options theory. Amsterdam: Elsevier JAI, 2007.

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Mun, Johnathan. Real Options Analysis. New York: John Wiley & Sons, Ltd., 2006.

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Legrand, Jason B., and Louis T. Verheyen. Real options analysis. Hauppauge, NY: Nova Science Publishers, 2011.

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Brosch, Rainer. Portfolios of Real Options. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008. http://dx.doi.org/10.1007/978-3-540-78299-5.

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Book chapters on the topic "Real options"

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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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Luque, Jaime. "Real Options." In Urban Land Economics, 133–37. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-15320-9_23.

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Engelen, Peter-Jan, and Danny Cassimon. "Real Options." In Encyclopedia of Law and Economics, 1778–87. New York, NY: Springer New York, 2019. http://dx.doi.org/10.1007/978-1-4614-7753-2_406.

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Engelen, Peter-Jan, and Danny Cassimon. "Real Options." In Encyclopedia of Law and Economics, 1–10. New York, NY: Springer New York, 2015. http://dx.doi.org/10.1007/978-1-4614-7883-6_406-1.

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Engelen, Peter-Jan, and Danny Cassimon. "Real Options." In Encyclopedia of Law and Economics, 1–10. New York, NY: Springer New York, 2018. http://dx.doi.org/10.1007/978-1-4614-7883-6_406-2.

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Carmichael, David Gordon. "Real Options." In Future-proofing—Valuing Adaptability, Flexibility, Convertibility and Options, 31–51. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-15-0723-6_3.

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Mun, Johnathan. "Real Options." In Quantitative Business Valuation, 573–616. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119202868.ch18.

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Caron, Franco. "Real Options." In Managing the Continuum: Certainty, Uncertainty, Unpredictability in Large Engineering Projects, 37–39. Milano: Springer Milan, 2013. http://dx.doi.org/10.1007/978-88-470-5244-4_8.

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Guerard, John B., and Eli Schwartz. "Real Options." In Quantitative Corporate Finance, 415–24. Boston, MA: Springer US, 2007. http://dx.doi.org/10.1007/978-0-387-34465-2_17.

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Kyläheiko, Kalevi. "Real Options." In The Palgrave Encyclopedia of Strategic Management, 1398–99. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-137-00772-8_438.

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Conference papers on the topic "Real options"

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Cobb, Barry R., and John M. Charnes. "Real options valuation." In 2007 Winter Simulation Conference. IEEE, 2007. http://dx.doi.org/10.1109/wsc.2007.4419599.

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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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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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"REAL OPTIONS PLANNING IN REAL ESTATE DEVELOPMENT." In 17th Annual European Real Estate Society Conference: ERES Conference 2010. ERES, 2010. http://dx.doi.org/10.15396/eres2010_380.

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Leppard, Steve. "Diagrammatic approach to real options." In Disordered and complex systems. AIP, 2001. http://dx.doi.org/10.1063/1.1358200.

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Hughston, Lane P. "Martingale approach to real options." In Disordered and complex systems. AIP, 2001. http://dx.doi.org/10.1063/1.1358204.

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"The value of Break-Options." In 21st Annual European Real Estate Society Conference. ERES, 2014. http://dx.doi.org/10.15396/eres2014_43.

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Lindsay, Michael. "Real options in real estate systematic literature review." In 28th Annual European Real Estate Society Conference. European Real Estate Society, 2022. http://dx.doi.org/10.15396/eres2022_152.

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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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Konnikov, E. A., O. A. Pogrebova, Y. R. Maskova, and V. V. Glukhov. "Real options valuation of additive production." In 2017 6th International Conference on Reliability, Infocom Technologies and Optimization (Trends and Future Directions) (ICRITO). IEEE, 2017. http://dx.doi.org/10.1109/icrito.2017.8342487.

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Reports on the topic "Real options"

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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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Gui, Hairong. Real Options Methodology in Sportswear Retail Investment Valuation. Portland State University Library, January 2000. http://dx.doi.org/10.15760/etd.145.

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Olagbemiro, A., J. Mun, and M. Shing. Application of Real Options Theory to DoD Software Acquisitions. Fort Belvoir, VA: Defense Technical Information Center, February 2009. http://dx.doi.org/10.21236/ada495785.

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Olagbemiro, Albert, Johnathan Mun, and Man-Tak Shing. Application of Real Options Theory to DoD Software Acquisitions. Fort Belvoir, VA: Defense Technical Information Center, August 2009. http://dx.doi.org/10.21236/ada530674.

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Pizarro, Jose, and Eduardo Schwartz. The Valuation of Fisheries Rights: A Real Options Approach. Cambridge, MA: National Bureau of Economic Research, October 2018. http://dx.doi.org/10.3386/w25140.

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Blanco, Christian, Jay Apt, and Paulina Jaramillo. Conventional Generation Asset Management with Renewable Portfolio Standards Using Real Options. Office of Scientific and Technical Information (OSTI), May 2013. http://dx.doi.org/10.2172/1556898.

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