Real Option Decision Tree Models for R&D Project Investment
نویسندگان
چکیده
منابع مشابه
A fuzzy real option approach for investment project valuation
The main purpose of this paper is to propose a fuzzy approach for investment project valuation in uncertain environments from the aspect of real options. The traditional approaches to project valuation are based on discounted cash flows (DCF) analysis which provides measures like net present value (NPV) and internal rate of return (IRR). However, DCF-based approaches exhibit two major pitfalls....
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Here, the expected value is taken under an appropriate risk-adjusted measure. Furthermore, VT and IT represent the project’s value and amount to be invested, respectively, at time T . If the project can be started at anytime, then (1.1) is modified to its American counterpart. In this case, the maturity date T is replaced by a stopping time τ (0 ≤ τ ≤ T ) and the investor chooses the stopping t...
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The common paradigm for risk-neutral real-option pricing is a special case encompassed within our general model for valuing investment opportunities. Risk-neutral real option prices deviate from the risk-averse real option values that apply in an incomplete market, giving different rankings of investment opportunities and different optimal exercise strategies. Unlike risk-neutral prices, more g...
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Static and dynamic term structure model of interest rates are studied according to the need for using. As for the static model, exponential splines model is studied and every cash flow of the project is discounted relatively accurately by getting the model of discount rate. As for the dynamic model, a basic model is studied, and the option pricing formula under changing risk-free rate is gotten...
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Real option analysis (ROA) is a way of valuing real assets by invoking option pricing theory. In contrast to the traditional net present value approach, ROA makes it possible to explicitly incorporating management flexibility. Because of such advantages, ROA has become an important tool for project valuation and is widely used in practice. In this paper, we develop a real option model with regi...
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ژورنال
عنوان ژورنال: IE interfaces
سال: 2011
ISSN: 1225-0996
DOI: 10.7232/ieif.2011.24.4.408