Project options valuation with net present value and decision tree analysis
作者: Bert De ReyckZeger DegraeveRoger Vandenborre
作者单位: 1London Business School, Regent’s Park, London NW1 4SA, United Kingdom
2Katholieke Universiteit Leuven, Naamsestraat 69, B-3000 Leuven, Belgium
刊名: European Journal of Operational Research, 2006, Vol.184 (1), pp.341-355
来源数据库: Elsevier Journal
DOI: 10.1016/j.ejor.2006.07.047
关键词: Decision analysisFinanceInvestment analysisReal options analysisScenarios
英文摘要: Abstract(#br)Real options analysis (ROA) has been developed to correctly value projects with inherent flexibility, including the possibility to abandon, defer, expand, contract or switch to a different project. ROA allows computing the correct discount rate using the replicating portfolio technique or risk-neutral probability method. We propose an alternative approach for valuing Real Options based on the certainty-equivalent version of the net present value formula, which eliminates the need to identify market-priced twin securities. In addition, our approach can be extended to the case of multinomial trees, a useful tool for modeling uncertainty in projects. We introduce within decision tree analysis (DTA) a method to derive the different discount rates that prevail at different chance...
全文获取路径: Elsevier  (合作)
影响因子:2.038 (2012)

  • options 保留购买权
  • valuation 评价
  • decision 决定
  • analysis 分析
  • value 
  • present 出席的