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.
Full textQC 20100611
Ho-Shon, Kevin Peter. "Real Estate Leases and Real Options." Thesis, The University of Sydney, 2008. http://hdl.handle.net/2123/3692.
Full textHo-Shon, Kevin Peter. "Real Estate Leases and Real Options." University of Sydney, 2008. http://hdl.handle.net/2123/3692.
Full textThis 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.
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.
Full textBrosch, Rainer. "Portfolios of real options." Berlin Heidelberg Springer, 2008. http://d-nb.info/988972077/34.
Full textSattarnusart, 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.
Full textFriedl, Gunther. "Real options and investment incentives." Berlin ; New York : Springer, 2007. http://site.ebrary.com/id/10161175.
Full textReiss, Arie. "Pricing options on real distributions." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.272108.
Full textDuckworth, 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.
Full textTan, Enk Ee 1968. "Real options valuation of eBusiness." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9154.
Full textIncludes 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.
Vrana, Eleftheria. "Real options in corporate valuation." Thesis, Imperial College London, 2008. http://hdl.handle.net/10044/1/11366.
Full textLatypov, Gennady. "VALUING CORPORATIONS USING REAL OPTIONS." Kyoto University, 2009. http://hdl.handle.net/2433/124101.
Full textSing, 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.
Full textSánchez, Vila Ramón. "Real options analysis in real estate investments and developments." Doctoral thesis, Universitat Autònoma de Barcelona, 2019. http://hdl.handle.net/10803/669453.
Full textThe analysis of real estate projects poses a great number of challenges. The uniqueness of the characteristics of each of type of real estate means that an assessment must be carefully adapted to each case. One of the most determining aspects is the management flexibility of real estate projects. Their long duration, belonging to a strongly cyclical sector, the important level of investment required and other aspects such as the variation of technical solutions link their success to the management skills and capabilities of managers. In practice, the options available to managers constitute one of the main assets of a project. These real options increase the value of projects through two effects. First, as the theory of real options demonstrates, it is possible to assign an objective value to flexibility, which is added to the value of the project estimated strictly by discounting its cash flows. Second, the presence of more or less flexibility in the project makes it more adaptable, reducing its relative risk with respect to less flexible projects, and consequently reducing the cost of capital required by the investor. The objective of this thesis is to provide a better understanding of both aspects. Regarding the first, the challenge is in adapting the methodology of real options to real cases more common in the daily analysis of a real estate analyst. More than four decades after the first authors described methods for the valuation of real options in real estate, the current reality is that the value of options is almost always still estimated in an intuitive manner. Regarding the second aspect, the effect on the cost of capital, this work focuses on identifying, ordering, quantifying and interrelating the determining factors between management flexibility and the cost of capital required. From the present analysis, it can be inferred that it is possible to quantify the value of the flexibility of a real estate project. Furthermore, this value is sufficiently significant and reliable, and conceptually it can come from different sources. It can also be concluded that in each project there are decisive factors for the investor to decide whether to invest or not, depending on the relationship between the potential return and the inherent flexibility. In both aspects, the skills and capabilities of the manager are crucial, since he is responsible for enhancing the flexibility of a project before and during its course.
Barman, Baabak, and Kathryn E. Nash. "A streamlined real options model for Real Estate Development." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42010.
Full textThis electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaves 52-53).
This thesis introduces a streamlined model that incorporates the value of the real options that exist in real estate development projects. Real options add value to a project by providing developers with flexibility to minimize downside risk or take advantage of upside potential as conditions change from deterministic expectations. Though developers currently incorporate this value into their decision making using intuition and judgment, the model presented here provides a tool with which developers can value options in a rigorous and quantitative fashion. Though the model should not be used as a comprehensive land residual model, it serves as a powerful proof of concept for real options analysis in the field of real estate. Further, it can be used to measure the relative value and risk of projects with and without real options. The model is based on both the traditional economic and the more recent engineering real options methodologies. Both approaches have been applied to real estate development projects, but have not yet caught on due to their newness and complexity. The streamlined model incorporates the elements of both methodologies that are most applicable to current development practice. In addition, the model is simplified and tailored to existing valuation techniques. The added benefit of this "hybrid" approach is that it reduces the learning curve associated with real options analysis so as to encourage its adoption in the real estate field in the short term.
(cont.) The model uses Monte Carlo simulations in Excel and is targeted towards specific options scenarios commonly faced by developers; specifically, the options to phase a project, choose among multiple uses, and defer development. A case study demonstrates the model, and compares the results of building two phased buildings versus a single larger building on the same site. The results show that the phased program results in less risk and a higher expected net present value than the single building program, while the option to defer development adds significant value to both programs.
by Baabak Barman and Kathryn E. Nash.
S.M.in Real Estate Development
Segerlund, David. "Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen." Thesis, KTH, Fastigheter och byggande, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070.
Full textIn this thesis is presented how the choice of valuation model and the assumptions made by the real estate appraiser affects the valuation of land. By studying a number of valuations we find that the method of choice when valuing land is by a sales comparison method, to complement this method a calculation based model is sometimes used. It is shown that the assumptions made by appraiser to a large degree affect the valuation when using a calculation based model. To a lesser degree the valuation will depend on the choice of valuation model.
Russo, Marcelo Moreira. "Are real options a real option for real-world finance professionals? Case study: the application of real options to evaluate investment projects in the latin american oil and gas field services industry." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10375.
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Brazil and other emerging markets will continue to present many investment opportunities in the coming years. Finance professionals who manage the company’s capital budgeting processes will face challenges. Specific characteristics of these projects as commodity-linked prices (e.g., the case of oil and gas and agricultural projects) and the customary uncertainties related to emerging markets are additional challenges. In this scenario, a more sophisticated capital budgeting framework, Real Options, offers a more robust theory to deal with uncertainty, managerial flexibility, and volatile outcomes imbedded in these opportunities. Real Options theory assumes that the managers’ involvement in the project generates value so they might capitalize on good outcomes or reduce losses by abandoning projects with bad results. The primary objective of this research was to apply Real Options valuation analysis for an investment project valuation and discuss the process and the results of such methodology. The case study retroactively analyzed an investment project in Colombia and compared the results under traditional NPV methodology and Real Options. The valuation techniques were performed as if they had been applied at the time the project was approved and then compared with the project's actual performance. The case study evaluated two types of real options: first, the effect of an option to cancel a contract that is assessed from the perspective of the client; and second, the option to abandon and defer from the perspective of the company that will perform the investment.
Brasil e outros mercados emergentes continuarão a apresentar muitas oportunidades de investimento nos próximos anos. Profissionais financeiros que gerenciam os processos de orçamento de capital nas empresas terão grandes desafios a enfrentar. Características específicas destes projetos como preços ligados a commodities (por exemplo: petróleo e gás e projetos agrícolas) e as incertezas habituais relacionadas com os mercados emergentes são desafios adicionais. Neste cenário, ferramentas mais sofisticadas de orçamento de capital como Opções Reais, oferece uma teoria mais robusta para lidar com incerteza, flexibilidade gerencial, e os resultados voláteis embutidas nestas oportunidades. A teoria de Opções Reais assume que o envolvimento dos gestores nos projetos gera valor à medida que potencializam os bons resultados ou reduzem as perdas por abandonar projetos com maus resultados. O objetivo principal desta pesquisa foi aplicar a análise de Opções Reais para um projeto de investimento e discutir o processo e os resultados da metodologia. O estudo de caso analisa retroativamente um projeto de investimento na Colômbia e compara os resultados sob o tradicional VPL e Opções Reais. As técnicas de avaliação foram realizadas como se estivessem sendo aplicadas no momento em que o projeto foi aprovado, e depois comparadas com o desempenho real do projeto. O estudo de caso avaliado possui dois tipos de Opções Reais: primeiro, o efeito de uma opção para cancelar um contrato que é analisado a partir da perspectiva do cliente que pode exercer essa opção, e o segundo, a opção de abandonar e adiar a partir da perspectiva da empresa que irá executar a investimento.
Atsu, Francis. "Difficulties in pricing of real options." Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121209.
Full textZhou, Jieyun. "Real options valuation in energy markets." Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/33985.
Full textHe, Yizhi. "Real options in the energy markets." Enschede : University of Twente [Host], 2007. http://doc.utwente.nl/58482.
Full textBrosch, Rainer [Verfasser]. "Portfolios of real options / Rainer Brosch." Berlin, 2008. http://d-nb.info/988972077/34.
Full textDIAS, MARCO ANTONIO GUIMARAES. "HYBRID REAL OPTIONS WITH PETROLEUM APPLICATIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=6645@1.
Full textEssa tese, metodológica e normativa, estende a teoria moderna de avaliação econômica de projetos de investimento sob incertezas, conhecida por teoria das opções reais, do ponto de vista de uma companhia de petróleo que otimiza a alocação de recursos e investimento. A teoria das opções reais é combinada com outras teorias - daí o nome opções reais híbridas - de forma a efetuar uma análise mais abrangente e realista de problemas complexos da indústria de petróleo. As duas principais combinações analisadas nessa tese são: (a) a combinação da teoria das opções reais e teoria dos jogos - jogos de opções reais - de forma a considerar de forma endógena o comportamento estratégico das outras firmas, especialmente no jogo de parada ótima com externalidades positivas conhecido por guerra de atrito, e a possibilidade de trocar esse jogo por um jogo cooperativo de barganha; e (b) a combinação da teoria das opções reais com métodos probabilísticos e de decisão estatística Bayesianos - opções reais Bayesianas - gerando uma nova maneira de modelar a incerteza técnica de um projeto em modelos dinâmicos de opções reais. Essas duas combinações são re-combinadas para se obter uma solução adequada que capture as diferenças de valor da informação nos jogos não-cooperativo e cooperativo. Importantes variáveis tais como o fator de chance exploratório, o volume e a qualidade da reserva de petróleo, são modeladas através do desenvolvimento de uma nova teoria sobre distribuições de revelações e medidas de aprendizagem. De forma mais sucinta são analisadas outras opções reais híbridas, com destaque para a combinação da teoria das opções reais com a teoria de computação evolucionária - opções reais evolucionárias - com grande potencial em aplicações complexas de otimização sob incerteza. O método é exemplificado com uma aplicação usando algoritmos genéticos para evoluir a regra de decisão de exercício ótimo da opção real.
This methodological and normative thesis extends the modern economic valuation theory of projects under uncertainty, known as real options theory, from the point of view of an oil company that optimizes the allocation of investment and resources. The real options theory is combined with other theories - so the name hybrid real options - in order to perform a more comprehensive and realistic analysis of complex problems that arises from petroleum industry. The two main combinations analyzed here are: (a) the combination of real options theory with game theory - real options games - to consider endogenously the strategic behavior of other firms, especially in the optimal stopping game with positive externalities known as war of attrition, as well as the possibility to change this game by a cooperative bargain game; and (b) the combination of real options theory with methods from probability theory and Bayesian statistical decision - Bayesian real options - generating a new way to model technical uncertainty of a project in dynamic real options models. These two combinations are re-combined in order to obtain an adequate solution that captures the value of information differences in non-cooperative and cooperative games. Important variables like exploratory chance factor, volume, and quality of a petroleum reserve, are modeled with the development of a new theory on revelation distribution and measures of learning. In a more concise way, are analyzed other hybrid real options, highlighting the combination of real options theory with the evolutionary computation theory - evolutionary real options - with great potential in complex applications of optimization under uncertainty. This method is exemplified with an application using the genetic algorithms to evolve the decision rule for optimal exercise of a real option.
SANTOS, MATHEUS SILVEIRA CATAULI DOS. "CAREER CHOICE: A REAL OPTIONS APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22213@1.
Full textA escolha de uma carreira é uma das decisões mais importantes na vida de uma pessoa, e é feita em um ambiente repleto de incertezas em relação ao futuro. Este trabalho analisa o aspecto financeiro da escolha entre uma carreira numa empresa privada e uma carreira em um órgão público, com ingresso por meio de um concurso. A análise pelo tradicional fluxo de caixa descontado apresenta uma série de limitações por não captar aspectos como a incerteza e a flexibilidade da tomada de decisão. Assim é aplicada uma abordagem segundo a teoria das Opções Reais, que se mostra mais adequada a este caso, pois permite que a flexibilidade de escolha seja modelada e considerada na escolha de carreira de um indivíduo. Neste estudo, os ganhos em uma empresa privada são modelados por meio de um processo estocástico enquanto a carreira pública tem um valor determinístico. Existe flexibilidade de data em relação ao ingresso na carreira pública, porém esta decisão é irreversível. Os resultados sugerem que a opção de ingressar na carreira pública pode ter valor significativo em relação à carreira privada.
Choosing a career is one of the most important decisions in a person s life, and is done in an environment full of uncertainties about the future. This study analyzes the financial aspect of a career choice between a private company and a career in the government, with admission through a contest. The analysis through the traditional discounted cash flow would bring a lot of limitations, not capturing aspects such as uncertainty and flexibility of decision making. So real options theory approach is applied, which appears more appropriate in this case because it allows the flexibility of choice to be modeled and considered in the choice of an individual s career. In this study earnings in a private company are modeled through a stochastic process while public career has a deterministic value. There is flexibility regarding the date of entry into public career, but this decision is irreversible. The results suggest that the option of joining the public career may have significant value in relation to private career.
Cardoso, David Emanuel Cruz Poço Ressurreição. "Contributions on Real Options Agency Theory." Master's thesis, Faculdade de Economia da Universidade do Porto, 2010. http://hdl.handle.net/10216/57177.
Full textZhao, Aiwu. "Diversification Effects: A Real Options Approach." [Kent, Ohio] : Kent State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=kent1227507382.
Full textTitle from PDF t.p. (viewed March 3, 2010). Advisor: Mark Holder. Keywords: diversification; diversification discount; value measurement; real options. Includes bibliographical references (p. 84-89).
Cardoso, David Emanuel Cruz Poço Ressurreição. "Contributions on Real Options Agency Theory." Dissertação, Faculdade de Economia da Universidade do Porto, 2010. http://hdl.handle.net/10216/57177.
Full textRIBEIRO, FERNANDO SOUZA DE MOURA. "REAL ESTATE PROJECT VALUATION UNDER UNCERTAINTY: A REAL OPTIONS APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5524@1.
Full textIn an enterprise scope, one critical step in the decision making process is the determination of potential investments feasibility and priority. Worldwide the most accepted method for evaluating a project is the Discounted Cash Flow (DCF), where the value of the project is given by the Net Present Value (NPV). However, the DCF does not reflect the value of managerial action, which maximizes results, assuming implicitly that the firm manages its real assets (projects) passively. Therefore, this method is too limited to deal with uncertainties and flexibilities and often leads to wrong decisions. Considered by many respected authors as a new paradigm in investment valuation, the Real Options Theory is viewed as a complement to standard DCF analysis which bridges the gap between strategic intuition and analytical rigor. This work aims not only to introduce some of the many flexibilities that exist in real estate development projects, but also to show how to evaluate projects in a simple and intuitive manner suitable for the investment decisions that developers face day by day. The Real Options approach provides the understanding of the flexibilities and uncertainties inherent to the project development process, assisting in contract making with third parties, as well as providing precious insights about businesses and strategic investments, insights that are more important than ever given the rapid pace of economic change.
Lee, Seung-Hyun. "Real options theory : implications on entrepreneurship development and options value under uncertainty." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272995868.
Full textSorensen, Daniel Schäfer Henry. "Automotive development process a real options analysis /." Wiesbaden : Deutscher Universitäts-Verlag, 2006. http://site.ebrary.com/id/10231855.
Full textWang, Jing. "Valuing options in commercial real estate leases." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B34837668.
Full textFoss, Marius Øverland, and Alexander Høst. "Hydroelectric Real Options : A Structural Estimation Approach." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-15046.
Full textd'Halluin, Yann. "Numerical Methods for Real Options in Telecommunications." Thesis, University of Waterloo, 2004. http://hdl.handle.net/10012/1206.
Full textPaixao, Jose Filipe Oliveira. "Real options with market and specific risks." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/11367.
Full textLambrecht, Bart Maria Andreas Corneel. "Essays on real options and strategic behaviour." Thesis, University of Cambridge, 1996. https://www.repository.cam.ac.uk/handle/1810/265487.
Full textWang, Yungchih George. "Topics in investment appraisal and real options." Thesis, Imperial College London, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.412292.
Full textVergos, Konstantinos. "Real options and the pricing of shares." Thesis, Bangor University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.409565.
Full textHsu, Y. "Essays on real options and strategic investment." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.604685.
Full textWang, Jing, and 王晶. "Valuing options in commercial real estate leases." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B34837668.
Full textHARCKBART, GUSTAVO. "REAL OPTIONS THEORY APPLIED TO BUSINESS VALUATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1960@1.
Full textEsta pesquisa tem três objetivos. Como primeiro objetivo, pretendemos ilustrar uma aplicação prática de avaliação de uma empresa empregando a teoria de opções reais baseada no tratamento dado por Dixit & Pindyck [1994]. Nossa idéia é empregar a técnica de opções reais para avaliar uma empresa que detenha uma opção de adiar um projeto de investimento na presença de competidores, que entram no mercado aleatoriamente. A incerteza do mercado é modelada através de processo estocástico de Movimento Geométrico Browniano, enquanto que a entrada dos competidores é modelada através de uma componente de Poisson. A Companhia Siderúrgica de Tubarão foi escolhida para ilustrar a aplicação devido ao fato da mesma possuir três grandes projetos em fase de estudo/execução. Como segundo objetivo, pretendemos adaptar uma aplicação da teoria de opções reais para avaliação de empresas de alta tecnologia desenvolvida por Schwartz [2000]. Em seu trabalho, Schwartz faz uma avaliação da Amazon.com levando em consideração o fato de que seus acionistas tem perdas de capital limitadas em caso de falência da empresa. Desta forma, empregando técnicas de simulação, Schwartz propõe um corte na distribuição de probabilidades dos fluxos de caixa da empresa nos casos em que ocorrem falências. Nossa idéia é adaptar o processo para avaliar a Globo Cabo, empresa de TV a Cabo, Internet e Telecomunicações das Organizações Globo. Como nosso terceiro objetivo, pretendemos verificar qualitativamente, dentro de nosso universo de exemplos limitado, o quanto a teoria de opções reais pode agregar ao processo de avaliação de empresas.
This research has three objectives. Our first objective is to apply real options theory, based on Dixit & Pindyck [1994] development to value a listed company. In particular, our intention is to value a company that has investment projects with delay options, in markets subjected to competitors random entry. We adopted the Geometric Brownian Motion to model the market uncertainty. The uncertainty concerning the competitors entry is assumed to be described by a Poisson Process. The company we have chosen is the Companhia Siderúrgica de Tubarão. The main reason behind our choice is the fact that the company has publicly announced that it is studying three big projects for investment.As a second objective, we intend to apply real option theory to value a high technology company using the methodology developed by Schwartz [2000]. In his work, Schwartz valued Amazon.com taking into account of the fact that Amazon`s shareholders have limited liability in case of Amazon`s bankruptcy. Our idea is to adapt Schwartz`s framework to value Globo Cabo, the Organizações Globo subsidiary in the business of cable TV, internet and telecommunications. Our third objective is to study qualitatively how much real options theory can contribute to the business valuation process. Our conclusion will take into account our very limited sample.
Las opciones reales basadas en el tratamiento dado por Dixit&Pindyck [1994]. Nuestra idea es emplear la técnica de opciones reales para evaluar una empresa que considere el atraso de un proyecto de inversión en presencia de competidores, que entran en el mercado aleatoriamente. La incerteza del mercado es modelada a través de proceso estocástico de Movimiento Geométrico Browniano, mientras que la entrada de los competidores se modela a través de una componente de Poison. La Compañía Siderúrgica de Tubarão fue elegida para ilustrar la aplicación ya que posee tres grandes proyectos en fase de estudio/ejecución. Como segundo objetivo, se pretende adaptar una aplicación de la teoría de opciones reales para la evaluación de empresas de alta tecnologia desarrollada por Schwartz [2000]. En su trabajo, Schwartz faz una evaluación de la Amazon.com considerando el hecho de que sus acionistas tienen pérdidas de capital limitadas en caso de quiebra de la empresa. De esta forma, utilizando técnicas de simulación, Schwartz propone un corte en la distribución de probabilidades de los flujos de caja de la empresa en los casos de quiebra. Nuestra idea es adaptar el proceso para evaluar la Globo Cabo, empresa de TV a Cabo, Internet y Telecomunicaciones de las Organizaciones Globo. Nuestro tercer objetivo es verificar cualitativamente, dentro de nuestro universo de ejemplos limitado, cuanto la teoría de opciones reales puede agregar al proceso de evaluación de empresas.
LOUREIRO, IRECE FRAGA KAUSS. "REAL OPTIONS APPLICATION ON INTEGRATED CIRCUITS SECTOR." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16851@1.
Full textElectronic industry is getting more important in world economy. The use of electronic parts is not an exclusive use of information technology but also of many sectors. It is becoming more important to attract investments in integrated circuits in order to differentiate products, to invest in research and development and even to increase brasilian industry competitiveness. In this context, this study intends to evaluate an investment opportunity of an integrated circuits company with a numeric example. Considering many uncertainties that exist on a project like this, real options theory was used in order to analyse an integrated circuits start-up investment. It is important to mention that the volatility of the return of a group of companies was used as a proxy to obtain the underlying risky asset volatility, as the underlying risky asset is the cash flow of an integrated circuits company built in Brazil. Therefore, this methodology was implemented to find a start-up project volatility. With this estimated volatility, the real options values were calculated based on the binomial model proposed by Cox, Ross & Rubinstein. Results show that incorporating uncertainties and analysing wait and expansion options raise substantial value to the project.
ALMEIDA, REGINA ANTUNES PEREIRA. "PRICING OF REAL OPTIONS WITH FIXED DIVIDENDS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20360@1.
Full textOpções cujo ativo base paga dividendos devem ser apreçadas de maneira particular. Se os dividendos forem calculados como um percentual do valor de mercado do ativo, pequenos ajustes nos modelos como BSM e Método Binomial são suficientes. Entretanto, se o valor do dividendo for fixo, ou seja, independente do valor de mercado do ativo, há necessidade de modelagens mais complexas. A literatura disponível propõe soluções para este caso, porém com foco em ativos financeiros. Ativos reais possuem particularidades que demandam o desenvolvimento de metodologias específicas. O pagamento de dividendos ocorre quando existe um contrato privado de uso entre o detentor do ativo e outro agente. Por estar vinculado a um contrato privado, agentes externos não podem realizar operações de arbitragem. Três diferentes metodologias são descritas e avaliadas neste trabalho. Um exemplo de uma opção de venda embutida em um contrato de afretamento de 10 anos de uma embarcação é utilizado para análise dos resultados. A primeira metodologia se baseia em um dos modelos utilizados para opções financeiras e a segunda busca resolver a principal fraqueza do modelo anterior. No terceiro método é considerada a diferença entre o dividendo do contrato privado e o dividendo de mercado, que representa o valor que poderia ser recebido se firmado um novo contrato. Dentre as metodologias analisadas, a terceira é aquela que apresenta premissas e resultados mais consistentes.
Options that pay dividends must be priced in a particular way. If dividends are calculated as a percentage of the asset s market value, then few adjustments in the BSM model and the Binomial Method are enough. However, if the dividend is fixed, which means that it is independent from the asset s market value, then the models are more complex. The available bibliography proposes solutions for this case, however with emphasis to financial assets. Real assets are different and demand the development of specific methodologies. The dividends payment happens when there is a private contract between the asset s owner and the other agent. Because it is related to a private contract, external agents can t make an arbitrage operation. Three different methodologies are described and evaluated in this work. An example of a put option included in a 10 year charter party of a vessel is used for analyzing the results. The first methodology is based on one of the models applied do financial options and the second aims to solve the first one main weakness. In the third method a difference between the private contract dividend and the market dividend is considered, which represents the value that could be obtained if a new contract is set. Among the methodologies analyzed, the third one presents more consistent premises and results.
Shiue, Pochin. "Strategic real options in commercial space markets." Thesis, University of Cambridge, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616197.
Full textSchmähling, Tom. "Estimating the input parameters of real options." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49949.
Full textENGLISH ABSTRACT: The following study project was written by the author in the scope of his MBA Program at the University of Stellenbosch. While the number of articles and books that deal with the theory of real options is extremely large, the use of real options as a valuation tool is not widely accepted in practice. The reason for this obvious discrepancy is the fact that these papers and the models developed therein are highly mathematical and require a thorough knowledge of statistical methods. There are few papers or books that explain the fundamental ideas and basic techniques in such a way that general managers are likely to be convinced that real options valuation is an interesting and valuable tool. The purpose of this study project is to fill this gap, to bring the theory of real options closer to a wider range of people and to make it comprehensible for people who have not studied mathematics or finance. To achieve this aim the study project consists of four parts. Recalling the well-known concept of financial options, the first part explains in detail the basic idea of real options theory. The second part deals with the different existing models that are used to determine the value of real options. However, the focus lies on the comprehensibility of these models and not on the pure mathematical side. In the third and main part of this thesis the different variables that are needed for evaluating real options are discussed and methods to determine realistic values of these variables are explained. Some recommendations will be made as to what one ought to focus on in determining the variables. A valuation with "real" data is discussed in the fourth part.
AFRIKAANSE OPSOMMING: Die werkstuk is in die loop van die outeur se MBA-kursus aan die Universiteit van Stellenbosch voltooi. Die aantal bronne en artikels wat betrekking het op die teorie is eindeloos, terwyl die werklike opsies nog nie wyd aanvaar word in die praktyk nie. Die rede vir die ooglopende verskil is die feit dat die artikels wat betrekking het op die teorie en modelle hoogs wiskundig is en 'n deeglike kennis van statistiek vereis. Daar is tans 'n tekort aan artikels en boeke wat die fundamentele idees en basiese tegnieke van reële opsies verduidelik/oordra op so 'n manier dat dit deur algemene bestuurders gebruik kan word. Die doel van die werkstuk is om hierdie probleem te oorkom deur reële opsie valuasies aan 'n wyer gehoor bekend te stel wat nie 'n wiskundige of finansiele agtergrond beskik nie. Om bogenoemde doelwit te bereik, word die werkstuk in vier dele opgedeel. Die eerste deel verduidelik die basiese beginsel van reële opsie teorie in groot detail. Die tweede deeI dek die verskillende modelle wat tans gebruik word om reële opsies te waardeer. Die fokus Iê egter op die verstaanbaarheid van die modelle en nie noodwendig die wiskundige onder bou nie. In die derde en kerndeel van die verhandeling word die verskillende metodes om reële opsies te waardeer, bespreek, asook die maniere om realistiese waardes volgens verskillende metodes te vind. 'n Waardasie met werklike data word in die finale deel aangebied.
Bahsoon, Rami Khalil. "Evaluating architectural stability with real options theory." Thesis, University College London (University of London), 2006. http://discovery.ucl.ac.uk/1445303/.
Full textDrathen, Christian von. "The pricing of real options an overview /." [S.l. : s.n.], 1990. http://digbib.ubka.uni-karlsruhe.de/volltexte/1000006638.
Full textMittendorf, Brian Gary. "Information revelation, real options, and employee incentives." Connect to resource, 2002. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1263485634.
Full textGuma, Anthony C. (Anthony Christian) 1975. "A real options analysis of a vertically expandable real estate development." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/58644.
Full textThis electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 64-66).
Like many great business ventures, grand successes in real estate development are often attributed to individuals with strong visions and talent, as well as a keen foresight on the future conditions which will ultimately decide the value of their projects. Even with the best forecasts and predictions, this type of a clear view of the future real estate market is typically difficult to bring into focus. By considering developments which provide the ability to react accordingly to the uncertainty of future forces, developers can better manage the risk associated with a potential weak market while also gaining the potential to benefit in a strong one. Flexibility of this type in real estate is generally known as a "real option." Even in dense urban centers with a limited amount of developable land, market uncertainty may still exist. Therefore, flexibility in that type of environment could allow a developer to be better positioned should a market improve or decline. One way to provide this type of flexibility on urban sites is to develop a given quantity of space initially with the option to add more vertically in the future. Although rare, such vertical expansions are quite feasible and the real option is quantifiable. This thesis investigates the value of providing a real option to vertically expand a structure in the future. Real option valuation is often regarded as a complex procedure and outside of typical real estate finance. This investigation will adopt a previously developed methodology based on familiar spreadsheet techniques and common valuation metrics such as net present value. To explore the use of this methodology and the potential value of vertical expansion, the Health Care Service Corporation headquarters in Chicago, IL is the basis of an analysis. This structure represents an existing building with the built-in option to expand vertically to almost twice its initial height.
by Anthony C. Guma.
S.M.in Real Estate Development
Pearson, Jason R., and Kate S. Wittels. "Real options in action : vertical phasing in commercial real estate development." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/59496.
Full textIncludes bibliographical references.
Real estate development is inherently a risky endeavor. Developers encounter varied risks during the different phases of a development project, from permitting to construction and through lease-up and stabilized operations. Flexibility allows a developer to mitigate some of these risks by capitalizing on potential upsides, and reducing the effects from possible downsides. Flexibility, and phasing specifically, enables a developer to manage risk more effectively by allowing a building to grow as market conditions warrant. This thesis investigates the determinants and implementation of vertical phasing, and suggests areas of applicability for vertically phased development. By "vertical phasing", we mean when a building is originally constructed to a certain height, but includes the intentional capacity for it to expand vertically in the future. Vertical phasing is an example of a real option "in" real estate development. A real option embodies a right, but not an obligation to pursue a future course of action. Flexibility, or real options, in real estate is important because it can add value to a project. The significant expansion of tall buildings is a recent phenomenon, though vertical phasing itself is not new. Expanding a one story building to two stories, for example, is a common example of vertical phasing. This thesis examines the decision and development process of major buildings that are constructed with the intentional ability to be expanded vertically in the future without disrupting the occupation and operations of the original building. While the intention is that the vertical expansion will take place at some appropriate time in the future, if such an opportunity never arises, the original building can exist by itself as a complete, fully functioning structure.
(cont.) Drawing from a study of four buildings in the United States and Canada, this thesis examines the context in which vertical phasing of buildings is employed. It first considers the various drivers that lead to vertical phasing. It then discusses the specific issues and challenges with respect to vertical phasing. This thesis argues that while vertical phasing of buildings is rare and complex, it is a viable method of development that has significant potential in enhancing the value of buildings. Specifically, vertical phasing is relevant to corporate real estate development, in which less quantifiable value drivers of a building are tangible and important. By evaluating the drivers and implementation of vertical phasing, this thesis shows that vertical phasing of buildings may be easier than commonly believed, and may be used effectively in corporate real estate development and possibly other sectors of the real estate industry.
by Jason R. Pearson and Kate S. Wittels.
S.M.in Real Estate Development
Armerin, Fredrik. "Waiting in real options with applications to real estate development valuation." Licentiate thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188145.
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Yao, Huimin. "Empirical testing of real options in the Hong Kong residential real estate market." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B36173344.
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