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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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Vrana, Eleftheria. "Real options in corporate valuation." Thesis, Imperial College London, 2008. http://hdl.handle.net/10044/1/11366.
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Latypov, Gennady. "VALUING CORPORATIONS USING REAL OPTIONS." Kyoto University, 2009. http://hdl.handle.net/2433/124101.
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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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Sánchez, Vila Ramón. "Real options analysis in real estate investments and developments." Doctoral thesis, Universitat Autònoma de Barcelona, 2019. http://hdl.handle.net/10803/669453.
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El análisis de proyectos inmobiliarios plantea una gran cantidad de retos. La singularidad de las características de cada uno de los tipos de inmuebles significa que una evaluación debe adaptarse cuidadosamente a cada caso. Uno de los aspectos más determinantes es la flexibilidad de gestión de los proyectos inmobiliarios. Su larga duración, su naturaleza sectorial fuertemente cíclica, el importante nivel de inversión requerido y otros aspectos (como la variación de las soluciones técnicas) vinculan su éxito con las habilidades de gestión y las capacidades de los gestores. En la práctica, las opciones disponibles para los gestores constituyen uno de los principales activos de un proyecto. Estas opciones reales aumentan el valor de los proyectos a través de dos efectos. Primero, como lo demuestra la teoría de las opciones reales, es posible asignar un valor objetivo a la flexibilidad, que se agrega al valor del proyecto estimado estrictamente descontando sus flujos de efectivo. En segundo lugar, la presencia de más o menos flexibilidad en el proyecto lo hace más adaptable, reduciendo su riesgo relativo con respecto a proyectos menos flexibles y, en consecuencia, reduciendo el costo de capital requerido por el inversionista.
El objetivo de esta tesis es proporcionar una mejor comprensión de ambos aspectos. Respecto al primero, el reto está en adaptar la metodología de opciones reales a casos reales más comunes en el análisis diario de un analista inmobiliario. Más de cuatro décadas después de que los primeros autores describieran métodos para la valoración de opciones reales en proyectos inmobiliarios, la realidad actual es que el valor de las opciones casi siempre se estima de manera intuitiva. Con respecto al segundo aspecto, el efecto sobre el coste de capital, este trabajo se centra en identificar, ordenar, cuantificar e interrelacionar los factores determinantes entre la flexibilidad de la administración y el coste de capital exigido por el inversor.
Del análisis actual, se puede inferir que es posible cuantificar el valor de la flexibilidad de un proyecto inmobiliario. Además, este valor es suficientemente significativo para considerarlo, y, conceptualmente, puede provenir de diferentes fuentes. También se puede concluir que en cada proyecto hay factores decisivos para que el inversor decida si invertir o no, dependiendo de la relación entre el rendimiento potencial y la flexibilidad inherente. En ambos aspectos, las habilidades y capacidades del gestor del proyecto son cruciales, ya que es responsable de mejorar la flexibilidad de un proyecto antes y durante su curso.The 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.
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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.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2007.This 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
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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.
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Denna studie visar hur valet av metod och värderarens antagande påverkar värderingen av byggrätter. Inledningsvis studeras ett antal faktiska värderingar med avseende på använda metoder och antaganden. Vi finner att fastighetsvärderarna i regel använder ortsprismetoden vid värdering av byggrätter, som komplement används ibland en kalkylbaserad metod. Det visas att fastighetsvärderarens antaganden om framtida bebyggelse i hög grad påverkar värderingen. I mindre utsträckning påverkar valet av värderingsmodell.In 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.
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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.
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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.
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Zhou, Jieyun. "Real options valuation in energy markets." Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/33985.
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Real options have been widely applied to analyze investment planning and asset valuation under uncertainty in many industries, especially energy markets. Because of their close analogy to financial options, real options can be valued using the classical financial option pricing theories and their extensions. However, as real options valuation often involves complex payoff structures and operational constraints of the underlying real assets or projects, accurate and flexible methods for solving the valuation problem are essential. This thesis investigates three different approaches to real options valuation and contributes to aspects of modeling realism and computational efficiency. The contributions are illustrated through two important applications of real options in energy markets: natural gas storage and power plant valuation.
Because spread options are commonly used in basic real options valuation techniques, the first part of the thesis addresses the problems of spread option pricing and hedging. We develop a new
closed-form approximation method for pricing two-asset spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional numerical integration. Closed-form approximations for the Greeks of spread options are also developed. In addition, we analyze the price sensitivities of spread options and provide lower and upper bounds for digital spread options.
We then further generalize the above results to multi-asset spread options on an arbitrary number of assets. We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that
both methods are extremely fast and accurate, with the latter method more accurate than the former. Closed-form approximations for important Greeks are also derived. Because our approximation
methods enable the accurate pricing of a bulk volume of spread options on two or more assets in real time, it offers traders a potential edge in a dynamic market environment.
In the third part of this thesis, we propose a market-based valuation framework for valuing natural gas storage facility with realistic operational characteristics. The operational process is modeled as a multi-stage stochastic optimization problem. We develop a Gaussian quadrature scheme to solve for the dynamically
optimal spot trading strategy and show that the computational efficiency of this method exceeds existing approaches in about two orders of magnitude. Furthermore, with this flexible quadrature scheme, we propose to value a gas storage based on a novel hybrid trading strategy that successfully incorporates both spot and
forward trading, thus improving the storage valuation significantly by accounting for both the inter-month and intra-month operational flexibilities and price volatility.
In the fourth part of this work, we develop a continuous-time formulation for power plant valuation in infinite time horizon. We propose a real-option-based model for a power plant to account for the embedded operational flexibility. This model incorporates start-up and shut-down costs as two major operational constraints.
Under this continuous valuation model, spark spread is modeled directly as a continuous stochastic process to take account of the
long term co-integration relationship between electricity and fuel prices. Instead of discretizing the stochastic process, we
preserve continuity of the stochastic spark spread process and work directly with the value function. Closed-form of value function under threshold policy is obtained. The corresponding
optimal operational strategy can then be solved. The advantage of this approach is that it reduces computational complexity while incorporates major operation characteristics. It enables fast
computation of a power plant value that approximates the real market value and sensitivity analysis of the asset value with
respect to the cost parameters of a power plant and the distribution parameters of spark spread.
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He, Yizhi. "Real options in the energy markets." Enschede : University of Twente [Host], 2007. http://doc.utwente.nl/58482.
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Brosch, Rainer [Verfasser]. "Portfolios of real options / Rainer Brosch." Berlin, 2008. http://d-nb.info/988972077/34.
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DIAS, 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.
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PETRÓLEO BRASILEIRO S. A.Essa 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.
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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.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROA 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.
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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.
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Zhao, Aiwu. "Diversification Effects: A Real Options Approach." [Kent, Ohio] : Kent State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=kent1227507382.
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Thesis (Ph.D.)--Kent State University, 2008.Title 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).
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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.
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RIBEIRO, 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.
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Determinar a viabilidade e a prioridade de investimentos
potenciais é um
passo crítico para a tomada de decisões no âmbito
empresarial. O método mais
difundido e aceito mundialmente para análise de projetos é
o Fluxo de Caixa
Descontado (FCD), onde o valor do projeto é determinado
pelo Valor Presente
Líquido (VPL). No entanto, o FCD não reflete o valor da
ação gerencial,
maximizadora de resultados, assumindo implicitamente que a
firma detém
passivamente seus ativos reais (projetos). Sendo este
método, portanto, muito
limitado para tratar de incertezas e flexibilidades e
levando freqüentemente a
decisões equivocadas. Considerado por muitos renomados
autores um novo
paradigma na avaliação de investimentos, a Teoria de Opções
Reais (TOR) veio
complementar a teoria do FCD, exercendo um papel de ponte
entre a intuição
estratégica e o rigor analítico. Este trabalho tem por
objetivo não somente
apresentar algumas das várias flexibilidades existentes em
projetos de
incorporação imobiliária, como também mostrar como calcular
seu valor de
forma simples, intuitiva e adequada aos principais
problemas de investimento
enfrentados por empresas incorporadoras no seu dia a dia. A
abordagem de
avaliação de investimentos utilizando a TOR possibilita o
entendimento das
flexibilidades e incertezas inerentes ao processo de
incorporação, auxiliando na
elaboração de contratos com terceiros e provendo preciosos
insights sobre
negócios e investimentos estratégicos cada vez mais
importantes devido ao
acelerado ritmo de mudança econômica.In 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.
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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.
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Sorensen, Daniel Schäfer Henry. "Automotive development process a real options analysis /." Wiesbaden : Deutscher Universitäts-Verlag, 2006. http://site.ebrary.com/id/10231855.
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Wang, 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.
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Foss, 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.
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Structural estimation is an important technique in analyzing economic data. Unfortunately, it is often computationally expensive to implement the most powerful and efficient statistical methods. One such method is the Nested Fixed Point (NFXP) algorithm. In this thesis, we develop methodology and techniques that allow us to apply NFXP to real options models of hy- dropower production. In particular, we develop a way to regard hydropower planning and scheduling as a stationary problem. Further, we create a nu- merical method for solving specific types of equation systems with sparse matrices of a specific structure, an approach that significantly increases the speed with which we can compute Fréchet and partial derivatives of con- traction mappings for large state spaces.
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d'Halluin, Yann. "Numerical Methods for Real Options in Telecommunications." Thesis, University of Waterloo, 2004. http://hdl.handle.net/10012/1206.
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This thesis applies modern financial option valuation methods to the problem of telecommunication network capacity investment decision timing. In particular, given a cluster of base stations (wireless network with a certain traffic capacity per base station), the objective of this thesis is to determine when it is optimal to increase capacity to each of the base stations of the cluster. Based on several time series taken from the wireless and bandwidth industry, it is argued that capacity usage is the major uncertain component in telecommunications. It is found that price has low volatility when compared to capacity usage. A real options approach is then applied to derive a two dimensional partial integro-differential equation (PIDE) to value investments in telecommunication infrastructure when capacity usage is uncertain and has temporary sudden large variations. This real options PIDE presents several numerical challenges. First, the integral term must be solved accurately and quickly enough such that the general PIDE solution is reasonably accurate. To deal with the integral term, an implicit method is suggested. Proofs of timestepping stability and convergence of a fixed point iteration scheme are presented. The correlation integral is computed using a fast Fourier transform (FFT) method. Techniques are developed to avoid wrap-around effects. This method is tested on option pricing problems where the underlying asset follows a jump diffusion process. Second, the absence of diffusion in one direction of the two dimensional PIDE creates numerical challenges regarding accuracy and timestep selection. A semi-Lagrangian method is presented to alleviate these issues. At each timestep, a set of one dimensional PIDEs is solved and the solution of each PIDE is updated using semi-Lagrangian timestepping. Crank-Nicolson and second order backward differencing timestepping schemes are studied. Monotonicity and stability results are derived. This method is tested on continuously observed Asian options. Finally, a five factor algorithm that captures many of the constraints of the wireless network capacity investment decision timing problem is developed. The upgrade decision for different upgrade decision intervals (e. g. monthly, quarterly, etc. ) is studied, and the effect of a safety level (i. e. the maximum allowed capacity used in practice on a daily basis—which differs from the theoretical maximum) is investigated.
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Paixao, Jose Filipe Oliveira. "Real options with market and specific risks." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/11367.
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Lambrecht, 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.
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In the past decade a lot of attention has been devoted to the option valuation approach to i~vestments in financial economics. This theory provides a fl exible way of incorporating uncertainty and irreversibility into the making of the investment decision. The primary purpose of this study is to extend the contingent claim approach by introducing a strategic dimension into the investment decision. In particular we focus on the case where an investor may be preempted by one or more competitors, and where there is an advantage of acting first. Secondly, we apply the strategic options approach to some important areas in financial economics, such as corporate investment under uncertainty, corporate default , market micro-structure . and the timing of arbitrage. Apart from illustrating the wide applicability and relevance of the techniques, this also clarifies some important issues in financial economics. 'Option Games' (jointly written with William Perraudin) describes a way of incorporating strategic behaviour and asymmetric information into optimal stopping decisions under uncertainty. vVe derive optimal stopping rules when each agent's payoff is affected by the actions of other agents and these latter are of unknown type. 'Strategic Sequential Investments: an Application to Preemptive Patenting' derives the optimal investment rules for an incumbent and a challenger who both have an option to patent an innovation with stochastic payoff. We find that the optimal trigger rule is determined by a trade-off between the benefit of waiting to invest and the need to act quickly due to the competitive threat. In particular, we demonstrate that both the strategic Marshallian break-even investment trigger and the trigger obtained by the option valuation approach are in fact limit_ing polar cases of the strategic investment trigger developed in this paper. We then extend the model to a two-stage sequential investment situation where the first and the second stage respectively consist of patenting and launching the product. The model allows us to explain and analyse the phenomenon of sleeping patents. It appears that sleeping patents are more likely to occur when interest rates are low, price volatility is high or when the first stage_ cost is small relative to the second stage cost. 'Creditor Races and Contingent Claims' (jointly written with William Perraudin) presents a simple pricing model in which two debt-holders with incomplete information about each other's type decide when to foreclose on a financially-distressed firm. 'The Timing of Arbitrage: an Options Approach' presents a continuous-time modei for the timing of riskless arbitrage when the mispricing between two equivalent portfolios varies stochastically through time under the exogenous impact of liquidity trades and when there is a persistent prospect that the arbitrage bubble can 'burst'. The model endows the arbitrageur with n options to do arbitrage. When endogenously determined arbitrage bounds a re violated one or more arbitrage trades bring asset prices back within the bounds. The model is extended to the case where there are two competing arbitrageurs who have incomplete information about each other's type.
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Wang, 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.
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Vergos, Konstantinos. "Real options and the pricing of shares." Thesis, Bangor University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.409565.
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Hsu, Y. "Essays on real options and strategic investment." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.604685.
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This dissertation comprises three essays on strategic real options. We use contingent claims analysis (CCA) to study how the timing of an investment under uncertainty is affected by strategic behaviour. 'Preemptive Patenting under Uncertainty and Asymmetric Information' examines an option game in which a potential entrant competes with the incumbent to introduce a new product. We assume each agent wants to preempt the rival whenever it is advantageous to do so. Information asymmetry exists between the firms in the sense that the incumbent knows only the probability distribution of the challenger's cost, while the incumbent's cost is publicly known. Therefore, by waiting, the incumbent retains the flexibility to respond to new information, but the fear of preemption may drive him to invest earlier. We analyse how the incumbent determines its strategic investment trigger based on this trade-off. 'Duopolistic Investment Decisions under Uncertainty' combines the option values of different firms' investment opportunities to find the equilibrium investment behaviour. We first analyse a monopolist's investment decision, assuming that the firm must incur some cost to keep its investment opportunity alive. The claim value of the investment opportunity is found by solving a two-free-boundaries problem numerically. The solution also includes an inaction region in which the monopolist keeps waiting until investment or abandonment is triggered. We then generalise the CCA in a duopolistic context. The claim values of both firms' investment opportunities are solved simultaneously, and the strategic inaction region, showing who will invest or abandon first, is also analysed. 'Staging of Venture Capital Investment: A Real Options Analysis' combines CCA with principal-agent analysis to investigate the staging decision of the venture capitalist. We assume that the venture capitalist can finance a venture's operation by staged or lump-sum investment. The staged and lump-sum financing opportunities are modelled as compound and simple options respectively.
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Wang, 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.
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HARCKBART, 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.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOREsta 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.
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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.
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A indústria eletrônica cada vez mais adquire importância na economia
mundial. O uso de partes e peças eletrônicas deixou de ser exclusivo da
informática e passou a permear setores diversos. Cresce a relevância da atração
de investimentos em circuitos integrados para a manutenção da diferenciação,
dos investimentos em pesquisa e desenvolvimento e até mesmo da
competitividade da indústria brasileira. Neste contexto, este trabalho pretende
avaliar uma oportunidade de investimento no desenvolvimento de uma planta
de circuitos integrados no Brasil utilizando um exemplo numérico. Dadas as
diversas incertezas em um projeto deste tipo, foi utilizada a metodologia de
opções reais para analisar o investimento em um start-up de circuitos
integrados. Ressalta-se que a volatilidade do retorno de uma base de empresas
do setor foi considerada como proxy para a volatilidade do ativo-objeto, o fluxo
de caixa de uma empresa de circuitos integrados instalada no Brasil. Assim,
implementou-se uma metodologia para a obtenção da volatilidade de um projeto
de start-up. De posse da volatilidade estimada, o valor das opções reais foram
calculados com base no modelo binomial proposto por Cox, Ross & Rubinstein.
Os resultados demonstram que a incorporação das incertezas e a análise das
opções de espera e de expansão trazem valor significativo ao projeto.Electronic 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.
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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.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROOpções 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.
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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.
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Schmähling, Tom. "Estimating the input parameters of real options." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49949.
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Thesis (MBA)--Stellenbosch University, 2004.ENGLISH 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.
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Bahsoon, Rami Khalil. "Evaluating architectural stability with real options theory." Thesis, University College London (University of London), 2006. http://discovery.ucl.ac.uk/1445303/.
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Evolution is a key problem in software engineering and exacts huge costs. Industrial evidence even hints that companies spend more resources on maintaining and evolving their software than on the initial development. In managing the change and guiding evolution, considerable emphasis is placed on the architecture of the software system as a key artifact involved. One of the major indicators of the success (failure) of software evolution is the extent to which the software system can endure changes in requirements, while leaving the architecture of the software system intact. We refer to the presence of this "intuitive" phenomenon as architectural stability. We highlight the requirements for evaluating architectural stability. We pursue an economics-driven software engineering approach to address these requirements. We view evolving software as a value-seeking activity: software evolution is as a process in which software is undergoing a change (an incremental) and seeking value. The value is attributed to the flexibility of an architecture in enduring likely changes in requirements. To value flexibility, we contribute to a novel model that builds on an analogy with real options theory. The model examines some likely changes in requirements and values the extent to which the architecture is flexible to endure these changes. The model views an investment in an architecture as an upfront investment plus "continual" increments of future investments in likely changes in requirements. The objective is to provide insights into architectural stability and investment decisions related to the evolution of software architectures. We support the model with a three-phase method for evaluating architectural stability. The method provides guidelines on eliciting the likely changes in requirements and relating architectural decisions to value. The problem of valuing flexibility of an architecture to change requires a comprehensive solution that incorporates multiple valuation techniques, some with subjective estimates, and others based on market data, when available. To introduce discipline into this setting and capture the value from different perspectives, the method outlines a valuation points of view framework as a solution. The framework is flexible enough to account for the economic ramifications of the change on both structural (e.g., maintainability) and behavioral (e.g., throughput) qualities of an architecture and on relevant business goals (e.g., new market products). We report on our experience in using the model and its supporting method with two case studies. In the first case, we show how the model and its supporting method can be used to assess the worthiness of re-engineering a "more" stable architecture in face of likely changes in future requirements. We take refactoring as an example of re-engineering. In the second case, we show how the model and its supporting method can inform the selection of a "more" stable middleware-induced software architecture in the face of future changes in non-functional requirements. We critically discuss and reflect on the strengths and the limitations of our contribution. We conclude by highlighting some open questions that could stimulate future research in architectural stability, relating requirements to software architectures, and architectural economics.
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Drathen, Christian von. "The pricing of real options an overview /." [S.l. : s.n.], 1990. http://digbib.ubka.uni-karlsruhe.de/volltexte/1000006638.
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Mittendorf, Brian Gary. "Information revelation, real options, and employee incentives." Connect to resource, 2002. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1263485634.
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Guma, 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.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, Center for Real Estate, 2008.This 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
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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.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, Center for Real Estate, 2008 [first author]; and, (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, Center for Real Estate, 2008 [second author].Includes 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
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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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In this thesis two dierent problems regarding real options are studied. The rst paper discusses the valuation of a timing option in an irreversible investment when the underlying model is incomplete. It is well known that in a complete model there is no nite optimal time at which to invest if the underlying asset, in our case the value of the developed project, does not pay out any strictly positive cash ows. In an incomplete model, the situation is dierent. Depending on the market price of risk in the model, there could be an optimal nite investment time even though the underlying asset does not pay out any strictly positive cash ows. Several examples of incomplete models are analyzed, and the value of the investment opportunity is calculated in each of them. The second paper concerns the valuation of random start American perpetual options. This type of perpetuate American option has the feature that it can not be exercised until a random time has occured. The reason for studying this type of option is that it provides a way of modelling the initiating of a project, e.g. the optimal time to build on a piece of land, which can not occur until a permit, or some other form of clearance, is given. The random time in the project application represents the time at which the permit is given. Two concrete examples of how to calculate the value of random start options is given.QC 20160607
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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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