Дисертації з теми "Real option theory (ROT)"
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TALARICO, ANTONIO. "La collaborazione pubblico-privato nella realizzazione dei Programmi Complessi: dalla valutazione ex-ante alla verifica in itinere della redditività degli investimenti." Doctoral thesis, Politecnico di Torino, 2008. http://hdl.handle.net/11583/2602571.
Повний текст джерелаPETRONI, DEBORA PIRES DE SOUZA. "REAL ESTATE ANALYSIS: A REAL OPTION AND GAME THEORY APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32834@1.
Повний текст джерелаCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
No ramo imobiliário, a tomada de decisão deve ser rápida e precisa. São muitas as incertezas que podem afetar um projeto. Por isso, o Estudo de Viabilidade é fator determinante de sucesso ou fracasso de uma incorporação. Hoje o método de análise largamente utilizado é o do Fluxo de Caixa Descontado (FDC), onde o valor do projeto e seus parâmetros de resultado baseiam-se no Valor Presente Líquido (VPL) do fluxo. Porém, este método não considera as diferentes decisões gerenciais que podem ser tomadas durante a vida útil do empreendimento em função de novas informações adquiridas ao longo do tempo. A decisão gerencial pode atuar mudando o rumo do empreendimento de maneira a maximizar os resultados a serem obtidos e mensurar seu real valor. Este trabalho se propõe a, de forma simples, introduzir a ferramenta de análise pela Teoria de Opções Reais (TOR), abordada na literatura, mas ainda negligenciada pelo mercado imobiliário. Esta teoria utilizada isoladamente não é capaz de retratar o dia-a-dia do incorporador. No mercado, a TOR torna-se falha utilizada sem a abordagem da Teoria dos Jogos, por não considerar os efeitos nocivos da concorrência nos objetivos da empresa. Sendo assim, o objetivo foi não só auxiliar na melhor avaliação de projetos pela TOR, considerando incertezas das mudanças econômicas mundiais e flexibilidade de tomada de decisão na maximização do resultado, como também analisar pela Teoria dos Jogos, a influência dos concorrentes nos objetivos inerentes ao projeto.
In Real Estate, the decision must be fast and accurate. There are many uncertainties that may affect projects. Therefore, the economic feasibility study is a critical factor of success or failure of an estate project. Currently the widely used analytical method is the discounted cash flow, in which the project s outcome and value are based on Net Present Value of the cash flow. However, this method does not consider the various management decisions that may be taken during the project life. The management decision may influence changing the course of estate development to maximize the financial results and measure their real value. This work aims to, in a simple way, introduce the analytical tool for Real Options Theory (ROT), discussed in the literature, but still neglected by the real estate market. This theory used in isolation isn t able to portray the developers daily. In the real estate market, the ROT becomes incorrect used without the Game Theory concepts, disregarding the competition effect s on the company s goals. Therefore, this work goes beyond a better project assessment through ROT, considering economic uncertainties and flexibility on decision making, but also considering the perspective of game theory, adding the influence of competitors actions on projects goals.
VIDAL, ALEXANDRE PANZA. "MINING PROJECT VALUATION APPLYING THE REAL OPTION THEORY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12985@1.
Повний текст джерелаThe world demand for mineral and energetic commodities is rising strongly in the last years due mainly to the growth of the Chinese economy. In the iron ore industry movements of merger and acquisition are more frequent therefore steel producers groups are looking to, by means of acquisition, guarantee their iron ore supply and to protect against the huge volatility of price in the market. On the other hand mining companies are protecting their business against these threats by merger operations. In this context, the valuation of new mining projects is essential to identify the enterprise value, considering that a mining company is a portfolio of projects. Given the characteristics of some mining projects, the use of the Real Option Theory allows a more efficiently valuation be done in presence of flexibilities and market uncertainties. This thesis intent to apply the concepts of real option, considering the risk neutral probability and stochastic process with growth drift of the variable of uncertainty, thru a hypothetic mining project, which holds a capacity expansion option that can be exercised in the five year time.
PANTOJA, CAROLINE DA SILVA. "REAL OPTION THEORY: AN APPROACH TO WIND POWER." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22854@1.
Повний текст джерелаO Setor Elétrico Brasileiro (SEB) vem passando por diversas mudanças. A reforma iniciada em 1993 implicou na alteração da característica do setor de ser até então majoritariamente estatal. As alterações no SEB nos anos de 2003 e 2004 implementaram os chamados Ambientes de Contratação Regulado e Livre, respectivamente ACR e ACL. Recentemente, mais mudanças estruturais marcaram o SEB com a nova Lei de número 12.783/13, que trata da renovação das concessões do setor. Neste contexto, destacam-se os empreendimentos eólicos e seu aumento de participação na matriz elétrica brasileira. A matriz elétrica brasileira permanece majoritariamente hídrica, contudo o segmento eólico tem se destacado nos leilões de energia, apresentando com frequencia preços mais competitivos que projetos de Pequenas Centrais Hidrelétricas (PCHs) e térmicas movidas à biomassa. Desta forma, dada a importância crescente da fonte eólica de energia, o presente trabalho propõe a aplicação de um modelo de avaliação de uma planta eólica em condições de incerteza, com a utilização da Teoria das Opções Reais. A flexibilidade abordada no trabalho em tela foi incorporada na escolha do mecanismo de venda da energia gerada. Neste sentido, considerou-se que o montante de energia não negociado no ACR (através de Leilões regulados) poderá ter a opção de ser negociado em contratos bilaterais no ACL ou liquidado no mercado de curto prazo ao Preço de Liquidação de Diferenças (PLD). Os resultados indicaram um aumento no valor do projeto com a inclusão desta flexibilidade.
The Brazilian Electric Power Industry (SEB) has been going through many changes. The reform begun in 1993 resulted in a modification on characteristics of this sector that was mainly controlled by the government until that time. The changes in SEB occurred in 2003 and 2004 resulted in the creation of the Regulated Contracting Environment (ACR) and the Free Contracting Environment (ACL). Recently, new modifications happened in this sector with the law number 12.783/13, which regulates the Renovation of Concessions in the sector. In this context, it can be highlighted the wind power projects and their increasing participation in Brazilian electricity generation matrix. The Brazilian electricity generation matrix is still concentrated in hydroelectrical generation. However, wind power plants have been standing out in the last auctions, with more competitive prices than Small Hydro Power (PCH) and biomass projects. Therefore, considering the increasing importance of wind power source, this work proposes the application of an investment model under uncertainty for evaluating a wind power plant using the Real Option Theory. The flexibility used in this work refers to the choice of the mechanism for selling the generated energy. In this sense, it was assumed that the amount of generated energy which wouldn’t be contracted in the ACR could have the possibility of being negotiated in contracts in the ACL or it would be sold in the short-term market through the Differences Settlement Price (PLD). Results indicate an increase in the project value with the inclusion of this flexibility.
GIL, RODRIGO. "CARAJÁS EXPANSION PROJECT VALUATION USING REAL OPTION THEORY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2014. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=24005@1.
Повний текст джерелаSegundo a Associação de Comércio Exterior do Brasil, o minério de ferro representou 12,8 porcento do total exportado pelo Brasil em 2012, se mantendo como primeiro produto, em valor, na pauta de exportação brasileira. Nesse contexto, o complexo Carajás, localizado no sudeste do estado do Pará em operação desde 1985, destaca-se por ser a maior reserva do país e por ter o minério com maior teor de ferro do mundo. Este trabalho tem como objetivo avaliar o projeto de expansão de Carajás, conhecido como projeto S11D,através da teoria de opções reais, buscando considerar o valor da flexibilidade gerencial existente no projeto e potenciais incertezas de mercado de forma a obter uma avaliação mais eficaz de um ativo tão representativo para o país. Os resultados indicam que a opção de expansão aumenta do valor do projeto de 77 bilhões de dólares para 99 bilhões de dólares, indicando o valor da opção em 22 bilhões de dólares.
According to the Brazilian External Association of Commerce, iron ore represented 12,8 percent of total export revenue in 2012, being the first product, at value, on the Brazilian export market share. In this context, Carajás Complex, located at south east of Pará State in operation since 1985, express itself from being the biggest reserve in the country and for having the highest iron ore content of the world. The target of this work is to evaluate the Carajás expansion project, known as S11D project, through Real Option Theory, considering the value of management flexibility existing in this project and potential market uncertainties in which obtain a valuation more efficient from an asset so representative to the country. The results indicate that the expansion option raises the project value from 77 billion dollars to 99 billion dollars, resulting the option value of 22 billion dollars.
LASKIER, RAFAEL CAMPOS. "REAL OPTION THEORY: AN INVESTMENT VALUATION APPROACH FOR VENTURE CAPITAL INDUSTRY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11346@1.
Повний текст джерелаThe traditional discounted cash flow method, which is commonly used by companies to analyze capital budgeting investments, has important limitations when uncertainty and managerial flexibility are present. For these types of project, option pricing methods are more appropriate, since they allow the value of these managerial flexibilities to be adequately captured and valued. In this work we analyze the investment in a project through a venture capital fund, and show that the use of the real option method for the valutation of this type of projects and financing scheme is recommended, given these projects are in the initial stages of development, have a high degree of uncertainty and allow significant managerial flexibility. The Venture Capital industry is typically represented by firms with high growth rates in their initial years and high volatility of the expected returns. The results show that the project has a negative NPV under the traditional discounted cash flow method, but with real option valuation the project value was significantly higher, which shows that non optimal decisions may occur if project flexibility is not valued. We conclude that when high levels of uncertainty and flexibility exist, such as is the case of investments in Venture Capital projects, the real options method provides a more adequate value for the project.
FILIPPO, THAIS HERNANDEZ. "STRATEGIC INVESTMENTS PLANNING AND EXECUTION UNDER UNCERTAINTY: REAL OPTION THEORY CONTRIBUTIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19254@1.
Повний текст джерелаPROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Este trabalho se propõe a orientar como utilizar de forma conjunta e complementar os conceitos de Estratégia Empresarial e Finanças, mais especificamente da Teoria de Opções Reais, uma moderna teoria de análise de investimentos sob incerteza. Nas empresas vem coexistindo dois sistemas para a alocação de recursos: o planejamento estratégico e a orçamentação de capital, em geral, o primeiro define as iniciativas estratégicas e o segundo faz a verificação de viabilidade econômico-financeira destas iniciativas. Entretanto, muitas vezes a intuição vai contra as análises financeiras tradicionais. Além disso, a complexidade da tomada de decisão estratégica em um ambiente de incerteza vem crescendo em função do acelerado dinamismo do mercado e da infinidade de oportunidades que aparecem em um mundo altamente globalizado e conectado. Portanto, a união dos conceitos atualmente dispersos nestes dois sistemas é de fundamental importância para a deliberação e execução de estratégias consistentes e lucrativas. A Teoria de Opções Reais, cujas características se aproximam mais da realidade estratégica por considerar as flexibilidades gerenciais e não ter a abordagem passiva das ferramentas tradicionais, aparece, então, como uma resposta a esta necessidade de aproximação. Neste contexto, esta dissertação busca analisar a contribuição desta teoria à Estratégia Empresarial e construir um modelo que aproxime estes dois campos de estudo e direcione a prática de planejamento e execução de investimentos estratégicos.
This work intends to give guidance on how to use jointly and complementarily the concepts of Corporate Strategy and Finance, specifically the Theory of Real Options, a modern theory of investment analysis under uncertainty. In corporate practice are co-existing two systems for resource allocation, strategic planning and capital budgeting. Usually the first defines the strategic initiatives and the second checks the economic viability of these initiatives. However, intuition often goes against the traditional financial analysis. Moreover, the complexity of strategic decision making in an uncertain environment is growing rapidly as a function of market dynamics and the myriad of opportunities that appear in a highly globalized and connected world. Therefore, the union of these two concepts currently dispersed in these systems is of fundamental importance for the deliberation and execution of consistent and profitable strategies. Real Options Theory, whose characteristics are closer to reality by considering the strategic and managerial flexibility and not having the passive approach of traditional tools, then appears as a response to this need for approximation. In this context, this dissertation seeks to analyze the contribution of this theory to business strategy and build a model that combines these two fields of study and directs the practice of planning and execution of strategic investments.
Ipsmiller, Edith, Keith D. Brouthers, and Desislava Dikova. "25 Years of Real Option Empirical Research in Management." Wiley, 2019. http://dx.doi.org/10.1111/emre.12324.
Повний текст джерелаWang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics /." St Andrews, 2010. http://hdl.handle.net/10023/893.
Повний текст джерелаWang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.
Повний текст джерелаChavanasporn, Walailuck. "Application of stochastic differential equations and real option theory in investment decision problems." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1691.
Повний текст джерелаGulamhussen, Mohamed Azzim. "The investment decision of banks in the City of London : a real option theory approach." Thesis, University of Reading, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553155.
Повний текст джерелаDe, Villiers Dirk Christiaan. "Determining the value of a new company with specific reference to the real option pricing theory." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52759.
Повний текст джерелаSome digitised pages may appear illegible due to the condition of the original hard copy
ENGLISH ABSTRACT: With the trends of business moving away from large, corporate companies to small, flexible and innovative alternatives, the need to value new companies are becoming important. A new company generally does not have substantial historical data available and it is therefore difficult to determine potential revenue streams and hence accurate valuations. The focus of this study is to find an appropriate method to attempt the valuation of a new company and this is explained by means of a case study. Three basic approaches exist to value companies. The Discounted Cash Flow (DCF) method analyses risk and return to estimate a discount rate and presents the value of the company as a Net Present Value (NPV). Relative Valuation methods compare the fundamentals of a company to that of other companies. Contingent Claim Valuation methods base the value of a company on the fact that decisions may be deferred into the future until more information is evident. The basis of this valuation technique is that of Option Pricing Theory in which the Black-Scholes technique and binomial models are used .: This method is normally used on assets that have optionlike features e.g. equity in a company, natural resource rights, product patents or any decision that may be deferred into the future. Decisions (options) deferred may be identified as growth-, staged-, flexibility-, exit-, learning- and expanding options. This is also known as the Real Option Pricing Theory. According to this model the investment proposal may be mapped as a series of call options (Luehrman, 1998a). The amount of money expended in the project corresponds to the option's exercise price (X), the present value of the asset built or acquired corresponds to the stock price (S), the length of time the company can defer the investment decision corresponds to the option's time to expiration (t) and the uncertainty about the future value of the project's cashflow corresponds to the standard deviation of return on the stock (c). Seven steps are used to obtain the value of the call option and the value is reflected by two option-value metries namely the value-to-cost (NPVq) and cumulative volatility (cr--Jt).The two metries are plotteá on a graph (defined as Options Space) in order to visualize and interpret the results. Mushroom Biomedical Systems developed three highly novel and patented products. The company was valued using the conventional OeF method and valued as a staged investment using the Real Option Pricing Theory according to Luehrman's model (1998a). The values of two products are similar using the OeF and Real Options methods. Most of the investment capital was required during the first phases of these products resulting in the investment of the second phases not holding high risks or value. The value of the third product is significantly higher using the Real Options method compared to the OeF. This is ascribed to the forced delay of phase one. The value of this future decision is worth more than the current decision due to expected new information that might arise. By "creating an option" value is added by forcing management to actively make two decisions about the continuation of the project at a future date. Applying Real Option Pricing Theory suggests inherent value in uncertainty when there is freedom to choose different courses of action in the face of different market conditions. With the OeF analysis the impact of risk is seen as depressing the value of the investment. By contrast, real options show that risk can be influenced through managerial flexibility, which becomes a central instrument to create value.
AFRIKAANSE OPSOMMING: Die beweging van die besigheidswêreld vanaf groot korporatiewe maatskappye na kleiner, buigsame en innoverende alternatiewe het 'n behoefte geskep om die waarde van sulke nuwe maatskappye te kan bepaal. 'n Nuwe maatskappy het tipies nie historiese data beskikbaar nie wat die vooruitskatting van potensiële inkomste strome en dus akkurate waardasies moeilik maak. Die fokus van hierdie studie is die bepaling van 'n toepaslike metode om die waarde van 'n nuwe maatskappy te bepaal en dit word deur middel van 'n gevalle studie verduidelik. Drie basiese metodes bestaan om maatskappye te waardeer. Die Verdiskonteerde Kontantvloei Stroom (VKS) metode gebruik risiko en opbrengs om 'n verdiskonteringskoers te bepaal en reflekteer die waarde van die maatskappy as die Netto Teenswoordige Waarde (NTW). Relatiewe Waardasie metodes vergelyk die fundamentele eienskappe van 'n maatskappy met die van ander maatskappye. Die Gebeurlikheids Waardasie metode koppel waarde aan die feit dat besluite uitgestel kan word totdat meer informasie beskikbaar is. Die basis van hierdie tegniek is Opsie Teorie waarin die Black-Scholes tegniek en binomiaal model gebruik word. Hierdie metode word gewoonlik gebruik waar bates "opsie-tipe" eienskappe besit soos aandeelhouding in 'n maatskappy, natuurlike mynregte; produk patente of enige besluit wat uitgestel kan word na 'n datum in die toekoms. Besluite (opsies) wat uitgestel word kan geïdentifiseer word as groei-, stap-vir-stap-, buigbaarheids-, uittree-, lerings- en uitbreidingsopsies. Hierdie metode staan ook bekend as die Ware Opsie Prysings Teorie. Volgens hierdie metode kan 'n beleggingsgeleentheid voorgestel word as 'n reeks koopopsies (Luehrman, 1998a). Die totale uitgawe word voorgestel deur die uitoefeningsprys (X), die teenswoordige waarde van die bate word voorgestel deur die aandeel waarde (S), die tydperk wat die besluit uitgestel kan word, word voorgestel deur die opsie vervaltyd (t), en die onsekerheid van die bate se kontantvloeistroom word voorgestel deur die standaardafwyking van die opbrengs van die bate (c). Sewe stappe word geneem om die waarde van die koopopsie te bepaal wat uitgedruk word deur twee opsiewaarde komponente naamlik waarde-tot-koste (NPVq) en kummulatiewe volatiliteit ((1'Jt). Die twee komponente word grafies voorgestel (genoem Opsie Spasie) om resultate te visualiseer en te interpreteer. Mushroom Biomedical Systems het drie unieke en gepatenteerde produkte ontwikkel. Die maatskappy is met die konvensionele VKS metode gewaardeer en volgens Luehrman (1998a) se Ware Opsie Prysings model as 'n stap-vir-stap opsie gewaardeer. Die waardes van twee van die produkte is dieselfde met die VKS metode en die Opsie Teorie metode. Die meeste van die kapitaal is tydens die eerste fases van die twee produkte benodig met die gevolg dat die tweede fases nie veel risiko of waarde inhou nie. Die waarde van die derde produk is aansienlik meer met die Opsie Teorie metode in vergelyking met die VKS metode. Dit word toegeskryf aan die gedwonge vertraging van fase een. Die waarde gekoppel daaraan om die besluit in die toekoms te neem is meer werd as om die besluit nou te neem a.g.v. verwagte nuwe informasie. Deur hierdie opsie "te skep" word waarde toegevoeg omdat bestuur gedwing word om aktief twee besluite in die toekoms te neem rakende die voortsetting van die projek. Die gebruik van Ware Opsie Prysings Teorie skep 'n inherente waarde wanneer daar verskillende besluite geneem kan word soos mark kondisies verander. Met die VKS metode word risiko gesien as 'n faktor wat waarde laat afneem. In teenstelling hiermee dui die Ware Opsie Teorie dat risiko beïnvloed kan word deur bestuur se vermoëns, wat 'n belangrike instrument is vir waardeskepping.
Seslija, Ljubisa. "The real cost of the Government Mortgage Indemnity Scheme : an application of the option pricing theory." Master's thesis, University of Cape Town, 1995. http://hdl.handle.net/11427/17474.
Повний текст джерелаThe legacy of apartheid in the social and economic fabric of South Africa is pervasive. More than two million households, with an average of five persons per household, are living in shacks or in hostels. Thus, the South African Government of National Unity as its most urgent priority has endeavoured to find solutions to this disastrous housing crisis. Thus, the Government proposed - amongst other measures - to establish a Government-supported Mortgage Indemnity Scheme. However, such loan-guarantees are not cost free. Moreover, since they are contingent liabilities, the contingency of which may be realised and thus impose a cost to the Government, it is important that such cost be known or estimated. Using the modified Merton's model of an analytic derivation of the cost of loan guarantees, this paper evaluates the potential cost that may be imposed to the Government. While the paper recognised that there may be scope for some kind of the Government loan guarantees, the overriding theme is that the Government should charge a fee for its loan guarantee. Moreover, it has also been illustrated that the main beneficiaries of the MIS will be: (a) households at the upper end of the low-cost housing market, and (b) private financial institutions which will be indemnified by the terms of MIS. Accordingly, the mere fact that the main beneficiaries will be those two categories of end-users and not these at the lower segment of the low-cost housing market suggests that the MIS may not attain its principal purpose - that of serving these in the lowest income group. Thus, there is no reason why the Government should bear the likely cost of the MIS. In contrast, the Government should charge a fee for its guarantee.
Remak, Edit. "A real options game approach to health technology assessment." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/12565.
Повний текст джерелаLaminou, Abdou Souleymane. "Optimality of the Financial Decision and the Theory of American and Exotic Options." Thesis, Rennes 1, 2016. http://www.theses.fr/2016REN1G016/document.
Повний текст джерелаThis thesis investigates the financial decisions through the theory of American and Exotic options. First, the literature on American-style derivatives is surveyed. The pricing of standard American call option in the early exercise premium representation is addressed in order to provide prerequisites for what follows. Second, a new variant of Strangle contracts, called Euro-American or Hybrid Strangles, is introduced and priced. Analytical formulas are provided for the prices of all these option contracts as well as their hedging parameters. A new quadrature is proposed to account for the systems of coupled integral equations that locate the early exercise boundaries. It is shown to be efficient, accurate, and fast for pricing all types of early exercisable strangles and more. Third, we examines the valuation of American Step options contract. The structures of the immediate exercise regions of the various contracts are identified. Typical properties of American vanilla calls are shown to fail in some cases. Formulas for prices and hedging parameters, for the American Step options, are derived. Finally, we consider the valuation of a firm holding simultaneously an option to expand and to abandon productions depending on the state of the market (good or bad) in a real option framework. Optimal decision levels are obtained. Analytical formulas for the firm’s value are provided. Numerical results document the behavior of the firm’s value and optimal exercise boundaries levels
NASCIMENTO, CAROLINA CALDAS DO. "THE OPTION VALUE OF THE FLEX-FUEL CAR IN DIFFERENT GEOGRAPHIC REGIONS OF BRAZIL: APPLICATION OF REAL OPTIONS THEORY WITH MRM." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20210@1.
Повний текст джерелаCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
A introdução do carro Flex-fuel no mercado brasileiro em 2003 mudou a forma de decisão do consumidor. Se antes era necessário escolher o combustível pelo tipo de veículo, movido somente a gasolina ou somente a álcool, hoje é possível escolher um tipo de carro com duas opções de combustível. O carro Flex funciona com gasolina, etanol ou qualquer mistura desses combustíveis em qualquer proporção. Essa flexibilidade gera uma vantagem econômica para o seu proprietário, mas qual o benefício financeiro de um carro Flex-fuel em comparação a um carro movido somente à gasolina? Geograficamente, onde se localiza o proprietário que se beneficia mais dessa flexibilidade? Este estudo aplica a Teoria de Opções Reais na análise do valor da opção do carro Flex para as cinco regiões geográficas do Brasil: Nordeste, Norte, Centro-Oeste, Sudeste e Sul. São atendidas tanto as diferenças de preços regionais quanto a preferência de automóvel do consumidor dessas regiões. Para esse propósito, são considerados que os preços históricos dos combustíveis são estocásticos e seguem o Movimento de Reversão à Média Aritmético. A previsão dos preços e o valor da opção são gerados através da Simulação de Monte Carlo. Os resultados indicam que a opção de escolher o combustível mais barato no abastecimento adiciona considerável valor para o proprietário do carro Flex em todas as regiões e modelos de carro considerados, sendo a região Sudeste a mais beneficiada pela opção Flex.
The introduction of the Flex-fuel car to the Brazilian market in 2003 changed the way of decision of the customers. If before it was necessary to choose the fuel by the kind of vehicle, fueled only by gas or only by sugarcane ethanol, today it is possible to choose one kind of car with two fuel possibilities. The Flexfuel car can run with gas, sugarcane ethanol or any mix of those fuels at any proportion. This resulting flexibility generates an economic advantage for the car’s owners, but what are the finance benefits of having a Flex-fuel car in comparison to a gas-powered car? Where is geographically located the owner which benefits more from this flexibility? This study applies the Real Option method to analyze the option value of the Flex-fuel cars in each of the five geographic regions of Brazil: Northeast, North, Central-West, Southeast and South. It regards regional prices differences and their customer’s car preference. For this purpose, it considers that the historical fuel prices are stochastic and follow the Arithmetic Mean Reverting diffusion process. Monte Carlo Simulation provides the forecasted fuel prices and option values. The results show that the option to choose the cheapest fuel at the refueling moment adds significant value for the owner of all the regions and car models considered. The Southeast region is the most benefited from it.
Olsson, Jessica, and Malin Wallvik. "Hantering av osäkerhet i strategiska investeringar : en kvalitativ undersökning på SME-företag i nordöstra Skåne." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-11111.
Повний текст джерелаMost companies’ main goal is to maximize the value of their company and one way to increase the value of the company can be to invest. An important factor in order to succeed with an investment is to create a strategy and stick to it. Strategies can be structured in different ways, but what they all have in common is the need to manage uncertainties. The purpose of this thesis is to investigate what kind of uncertainty small- and medium sized enterprises experience when they invest, as well as how they manage this. Our selection of small- and medium sized enterprises is based on the fact that the majority of previous research within this particular subject investigates large companies. The research strategy in this thesis is mainly exploratory, since our goal is to increase the knowledge within this partly unexplored subject. We chose to narrow our selection down to companies within the industrial sector in the North East of Skåne. This thesis consists of a qualitative method, where in-depth interviews were conducted with six respondents from different companies. Together with the opinions from the respondents and previous research, interpretations were made which made it possible to create conclusions. The primary conclusion to be drawn from this thesis is that investment uncertainty can be managed in different ways depending on the company, even though the companies are operating within the same sector. The companies use different types of strategies in order to manage what they experience as uncertainty, although some of them use the strategies more than others. We wish to increase the understanding and the knowledge of existing uncertainties as well as how to manage these. Our intension is to help small- and medium sized enterprises feel more secure about their investment decisions in the future. Safer decision-making results in reduced uncertainty thus increase the chances of making profitable investments.
Dolci, Pietro Cunha. "Uso da gestão do portfólio de TI no processo de gerenciamento e justificativa dos investimentos em tecnologia da informação." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2009. http://hdl.handle.net/10183/15599.
Повний текст джерелаIT has lately been considered an important tool to gain competitive advantage, a fact that has triggered increasing investments in technology in the companies. However, the number and variety of investments require that managers use new tools and techniques to help justify and manage IT processes. A technique has been chosen as an alternative to identify, analyze, and manage investments in IT: Information Technology Portfolio Management (ITPM). Nevertheless, recent studies have shown that this concept has not been thoroughly developed neither in the academy nor in companies. Different authors point out that some organizations are aware of ITPM, but few use it in their business. Therefore, to show that ITPM can be of use in the justification and management of investments in IT, the following research aim as established: to analyze the use of ITPM as a tool to help justify and manage investments in IT in organizations. The methodology comprises five case studies of five Brazilian companies in different economic sectors; eight IT managers were interviewed in these companies. Besides, a quantitative analysis was carried out with one of the case studies by using the Real Options Theory (ROT) associated with ITPM in order to assess investment risk and return and to help managers take decisions regarding their investments in IT. Different ITPM levels were found in the companies under investigation concerning planning, control, and evaluation in investments in IT. Results show that ITPM has been used for a short time or is in the structuring phase of the IT portfolio. Regarding the use of ROT, I have concluded that it can help IT managers analyze investments in different ITPM dimensions and enable more flexibility in decision-making and better use of the market opportunities, according to the company's needs. This thesis brings some contributions to the IT area since it explores and analyzes a theme – ITPM – which has got little research in Brazil; besides, it contributes to managerial knowledge so that managers can benchmark IT portfolios in Brazilian companies, and help the decision-making process in IT, an area that has got increasing importance in the companies lately.
Zilio, Leonardo Botelho. "Atratividade de canaviais paulistas sob a ótica da Teoria das Opções Reais." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-03062014-152427/.
Повний текст джерелаThe typical production of sugarcane by independent suppliers in the São Paulo State gives up on small farms. In this activity, it was found that between crops 2007/08 and 2011/12 there was economic loss, a fact that leads to the goal of the present study: answer why these producers still remain providing sugarcane. Apart from the traditional viability analysis, the study incorporated the Real Options Theory analysis, which includes managerial flexibility on the investor decision model. Two sugarcane investment projects based on available information of Piracicaba and Sertaozinho regions were analyzed. Considering the discounted cash flow method, we obtained estimates pointing to the economic attractiveness of sugarcane planting in both regions, as shown by the positive response of the Net Present Values calculated. This evidence was corroborated when using the Real Options Theory, given the most significant were the responses in terms of financial attractiveness. Additionally, the results point to better financial conditions when the production of sugarcane is held in its own land, beyond the need for mills incentives to independent suppliers of Sertaozinho. Price and quality of sugarcane and agricultural productivity presented the higher impact on the financial viability of projects. Finally, actions focus on agricultural productivity gains are seen as motivating for financial gain, while in terms of public policy we mention the possibility of adjustments in C gasoline pricing systems and in the taxation on derived products from sugarcane.
Pudney, Steven Grant. "Asset renewal decision modelling with application to the water utility industry." Thesis, Queensland University of Technology, 2010. https://eprints.qut.edu.au/40933/1/Steven_Pudney_Thesis.pdf.
Повний текст джерелаOliveira, Carl Douglas de Gennaro. "Convergência brasileira às normas internacionais de contabilidade: uma aplicação prática do IFRS 2 em um programa de phantom stock options real praticado no Brasil." Pontifícia Universidade Católica de São Paulo, 2010. https://tede2.pucsp.br/handle/handle/1767.
Повний текст джерелаThe process of Brazil s compliance with the International Financial Reporting Standard (IFRS) took a big step forward, definitively getting on the agenda of regulatory agencies, companies and auditing firms, when Federal Law 11.638 was signed in December 2007, altering the accounting chapter of Brazilian Corporate Law, 6.404/76. This study contributes to Brazil s process of compliance with the IFRS, specifically regarding the applicability of IFRS 2 Share-based Payment, or its Brazilian corollary CPC 10 Pagamento Baseado em Ações, and the impact on accounting and on the disclosure of a long-term compensation program for executives, characterized as phantom stock options. IFRS 2 was published in February 2002 and was required internationally from January 2005, as an outcome of the growing use of commercial transaction payments based on shares, and also the IOSCO´s report that pointed out the lack of an accounting standard dealing with this kind of transaction. The study found that IFRS 2 or CPC 10 can be appropriately applied to guide the accounting treatment given to a phantom stock option program, and was a more informative accounting practice than that which had been used in Brazil, before 2008. The study also found a wide-spread need of financial knowledge regarding the valuation of stock options, such as the Black-Scholes-Merton model, as well as statistical methods for appropriately account and disclose the fair value of share-based incentive plans. Furthermore, in order to understand more fully the economic event which is being accounted, it is highly important to understand its essence. In the case of long-term share-based incentives for executives, the essence of their existence can be found in agency theory
O processo de convergência do Brasil às Normas Internacionais de Contabilidade (IFRSs) deu um grande salto e entrou definitivamente na agenda dos órgãos reguladores, empresas e auditorias, com a sanção da lei federal 11.638 em dezembro de 2007, que alterou o capítulo contábil da Lei das Sociedades Anônimas, 6.404/76. Este estudo contribui para o processo de convergência brasileiro às IFRSs, especificamente quanto à aplicabilidade do IFRS 2 Share Based Payment, ou sua correlação brasileira CPC 10 Pagamento Baseado em Ações, e dos impactos contábeis e de divulgação decorrentes de um programa de compensação de longo prazo a executivos, com as características de phantom stock options, ou opções fantasmas. O IFRS 2 foi publicado em fevereiro de 2002 e requerido internacionalmente a partir de janeiro de 2005, como uma decorrência do crescente uso de pagamento das transações comerciais com base em ações e também do relatório da IOSCO, que identificou como falha a lacuna de norma contábil que tratasse deste tipo de transação. O estudo identificou que o IFRS 2 ou CPC 10 aplica-se adequadamente para orientar o tratamento contábil de um programa de phantom stock option e representou uma prática contábil mais informativa que aquela até então adotada no Brasil, antes do ano de 2008. O estudo também identificou a grande necessidade de conhecimento de finanças relacionado à avaliação de opções, tal como o modelo Black-Scholes-Merton, bem como de métodos estatísticos, para uma apropriada contabilização e divulgação do valor justo dos planos de incentivo baseados em ações. Além disso, para que se entenda com profundidade o evento econômico que se contabiliza, é de suma importância a compreensão de sua essência. No caso de incentivos de longo prazo para executivos, baseados em ações, a essência de sua existência pode ser encontrada na Teoria de Agência
Souza, Rubens Feitosa de. "Contribuições da interação da teoria das opções reais e do Target Costing à definição de um processo de precificação que maximize o resultado da empresa." Pontifícia Universidade Católica de São Paulo, 2013. https://tede2.pucsp.br/handle/handle/1537.
Повний текст джерелаThe aims of this work is to show the contributions that the interaction between real options theory and target costing may offer in the pricing process. The justification for this issue lies in the lack of studies on the subject, because there are many works on the target costing and the real options theory, however, in the literature no studies were found that explicitly describe the interaction between the real options theory and target costing. To get to the objective of the work, spoke out about the pricing from the perspective of cost, the investment analysis and the economic viewpoint, it was demonstrated throughout the work the various techniques and theories on pricing, supported on a deductive method, descriptive and exploratory. At the end of the work, using the assumptions of target costing as premises of managerial flexibility of real options theory, proved a great contribution to the pricing process because decision makers might have a far more complete variables that impact the price and make the right decision on market possibilities
O presente trabalho tem como objetivo mostrar as contribuições que a interação entre a teoria das opções e o target costing podem oferecer ao processo de precificação. A justificativa para este tema reside na escassez de trabalhos sobre o assunto, pois, existem muitos trabalhos sobre o target costing e sobre a teoria das opções reais, porém, na literatura não foram encontrados trabalhos que descrevam explicitamente a interação entre a teoria das opções reais e o target costing. Para chegar-se ao objetivo do trabalho, discorreu-se sobre a precificação pela ótica de custos, pela análise de investimentos e pela ótica econômica, ou seja, demonstrou-se ao longo do trabalho as diversas técnicas e teorias sobre precificação, amparado em um método dedutivo, do tipo descritivo e exploratório. Ao final do trabalho, utilizando os pressupostos do target costing como premissas de flexibilidade gerencial da teoria das opções reais, demonstrou-se uma grande contribuição ao processo de precificação pois, os tomadores de decisão puderam ter uma visão bem mais completa das variáveis que impactam no preço e tomar a decisão correta via as possibilidades de mercado
Viana, Pedro Folque de Mendoça Teixeira. "The cost of a lost development opportunity in a centrally located vacant land." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/14032.
Повний текст джерелаNeste trabalho faz-se uma avaliação de uma oportunidade perdida de desenvolver terreno. Foi negado a uma empresa a possibilidade de esta desenvolver um projecto que consistia no desenvolvimento de imobiliário e na sua posterior venda. A avaliação é feita tendo por base a Teoria das Opções Reais e decidimos focar-nos no valor da opção de compra subjacente neste projecto. Usamos duas fórmulas fechadas para estimar o valor desta opção: o modelo Black-Scholes-Merton e a opção de troca de Margrabe. De seguida simulamos algumas das variáveis destas fórmulas fechadas através de uma análise de cenários e de uma simulação Monte Carlo, isto permitiu-nos construir intervalos de confiança dentro dos quais estará o valor justo da opção. Concluímos que ao ter em conta o valor desta opção, o valor do projecto aumenta significativamente, mesmo nas nossas estimativas mais conservadoras.
The present paper attempts to value the cost of a lost development opportunity in a vacant land. A company was denied the possibility of developing a project, which consisted in real estate development to be sold in the future. The evaluation follows Real Options Theory and we focus on the value of the call option embedded in this project. We use two close form formulas to estimate the option's value: the standard Black-Scholes-Merton Model and Margrabe's Exchange Option. We then simulate some of the variables contained in these formulas using a scenario analysis and a Monte Carlo Simulation, which allowed us to build confidence intervals in which the fair values of the options lie. We find that by taking into account the call option, the value of this project increases significantly, even in our most conservative estimations.
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Chung-Shing, Sun, and 孫中興. "Project Evaluation for High-Tech Innovation Investment:Application of Real Option Pricing Theory." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/37065990521408147623.
Повний текст джерелаLiao, Wei-Cheng, and 廖偉成. "Strategy Information Technology Investment Decision Model – A Game Theory and Real Option Approach." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/x6736w.
Повний текст джерела國立臺北科技大學
商業自動化與管理研究所
93
This paper applies real option theory to replace the traditional evaluate investment method. Regard the technology research and develop investment as a real option, when enterprises acquire a new technology, is equal to get the chance to make the follow-up strategy investment. However, the theory of real option is not suitable for evaluation of the competition advantage made by information technology investment, such as the preempt market advantage, the brand lead advantage and the patent advantage. This paper combines the theory of real option and game theory, considers the uncertainty of the rival reacts in industry''s environment. This paper also transfers the investment benefit from theory of real option to the payoff in game theory, utilizes “Equilibrium Concept” in the game theory, ponders over the rival''s possible investment strategy, and gets the optimal investment strategy of enterprises. Therefore, the investment decision model, combining the game theory and theory of real option, is proposed in this paper which is based on terms of strategic information technology investment. Finally, there are two Hospital MIS investment cases: 1) the investment of dynamic environment with the uncertainty of medical market demand and 2) uncertainty of technology development in the future and uncertainty of the rival reacts, to demonstrate how to make the best information technology investment strategy and its efficiency.
Lu, Yu-Ching, and 盧又菁. "First-Mover Advantage and Performance of Electronic Industry: Theory and Empirical of Real Option Analysis." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/85148010072074274868.
Повний текст джерела東吳大學
國際經營與貿易學系
100
There is distinct discrepancy in operations between first or second mover of different industries based on variabilities of characteristics, resources, core competences and market types. As Technology industry has been important to Taiwan because of its increasingly raising proportion of exports since 1980s, it is meaningful for enterprises to find out whether “first-mover advantages” exist or not in the industry. In addition, policies or regulations made by government will have effect on corporations’ investment, such as wage level, interest rate, foreign exchange rate, taxes and trade policies. Therefore, besides first-mover advantages, policy uncertainties created by government is also be discussed. Besides 1981 to 1985, the regression on first-mover advantages shows that the latter the firms setup, the better the profitability. Additionally, policy uncertainties indicate that the most firms setup during 1996 to 2000 with the lowest policy uncertainties within the sample period and firms setup during the period display the highest profitability showed from the regression on first-mover advantages.
Chang, I.-Jung, and 張宜榕. "A Study of Real Option Analysis and Game Theory on Investment Projects: AU Optronic’s G6 Investment." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/12536071189136631071.
Повний текст джерела逢甲大學
財務金融學所
95
TFT-LCD industry is one of the most booming industries in the world, recently. All manufacturers invest lots of capital to expand their capacity and new production lines for their earning. The return in the future will be a good question to managers. So having an efficiency evaluation and analysis is necessary. This thesis take the G6 investment project of AU Optronic for example, and it is based on the binomial option valuation method and the Subgame Perfect Equilibrium of game theory. In the valuation, we consider two situations- the deferment of investment and the transfer of investment. Besides, we also analyze the cost of capital of AU Optronic by sensitivity analysis. In the result of this thesis, AU Optronic will be loss a lot, if they invest right now. But this investment project will be worth, if they consider the deferment of investment strategy and the transfer of investment strategy. As a result, the deferment of investment strategy is valuable.
Ming-ChiehChen and 陳明傑. "The Application of Real Option and Game Theory on Corporate Investment DecisionsA Case study of Solar Industry." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/72449069525850751768.
Повний текст джерелаPai, Ching-Jen, and 白景仁. "The Application of Real Option and Game Theory on Corporate Investment Decisions:A Case Study of Textile Industries." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/55245039900652866275.
Повний текст джерела國立成功大學
財務金融研究所
97
Abstract The traditional capital budgeting tools such as net present value (NPV) and internal rate of return (IRR) techniques have been widely used in corporate investment decision making for decades. Although these tools are relatively easy, the flexibility of investment projects can not be incorporated in analysis. For the investments involving high uncertainty of future cash flows, traditional capital budgeting analysis may make these investments infeasible, further making firms losing good investment opportunities. Real option analysis can take into account the uncertainty and provide flexibility in investment assessments. In strategic investment decisions, not considering the reaction of competitors may result in great deviation between assessed project value and actual outcome. Game theory can be applied onto the corporate capital budgeting analysis to enhance the quality of decision making. Through a case in the textile industry, this study thoroughly discusses the applications of real option and game theory in capital budgeting analysis, expecting to provide feasible assessments for future reference.
Einwegerer, Thomas. "Real Options Valuation of Integrative Information Systems." Thesis, 2008. http://epub.wu.ac.at/1864/1/document.pdf.
Повний текст джерела