Geodesic
Thoughts about Selected Models for the Valuation of Real Options
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica, Tome 50 (2011) no. 2, pp. 5-12 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models used today and to discuss modeling perspectives for the future.
This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models used today and to discuss modeling perspectives for the future.
Classification : 91G20, 91G60, 91G99
Keywords: real option valuation; option valuation models 
@article{AUPO_2011_50_2_a0,
     author = {Collan, Mikael},
     title = {Thoughts about {Selected} {Models} for the {Valuation} of {Real} {Options}},
     journal = {Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica},
     pages = {5--12},
     year = {2011},
     volume = {50},
     number = {2},
     mrnumber = {2920703},
     zbl = {1244.91088},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/AUPO_2011_50_2_a0/}
}
TY  - JOUR
AU  - Collan, Mikael
TI  - Thoughts about Selected Models for the Valuation of Real Options
JO  - Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
PY  - 2011
SP  - 5
EP  - 12
VL  - 50
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/AUPO_2011_50_2_a0/
LA  - en
ID  - AUPO_2011_50_2_a0
ER  - 
%0 Journal Article
%A Collan, Mikael
%T Thoughts about Selected Models for the Valuation of Real Options
%J Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
%D 2011
%P 5-12
%V 50
%N 2
%U http://geodesic.mathdoc.fr/item/AUPO_2011_50_2_a0/
%G en
%F AUPO_2011_50_2_a0
Collan, Mikael. Thoughts about Selected Models for the Valuation of Real Options. Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica, Tome 50 (2011) no. 2, pp. 5-12. http://geodesic.mathdoc.fr/item/AUPO_2011_50_2_a0/

[1] Anscombe, F. J., Aumann, R. J.: A definition of subjective probability. The Annals of Mathematical Statistics 34 (1963), 199–205. | DOI | MR | Zbl

[2] Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973), 637–659. | DOI | Zbl

[3] Borison, A.: Real options analysis: Where are the emperor’s clothes?. Journal of Applied Corporate Finance 17 (2005), 17–31. | DOI

[4] Collan, M., Fullér, R., Mezei, J.: A Fuzzy Pay-Off Method for Real Option Valuation. In: IEEE International Conference on Business Intelligence and Financial Engineering, IEEE, Beijing, PRC, 2009, 165–169. | MR | Zbl

[5] Collan, M., Fullér, R., Mezei, J.: Fuzzy pay-off method for real option valuation. Journal of Applied Mathematics and Decision Systems 2009, doi: 10.1155/2009/238196 (2009), Article ID 238196, 1–14. | MR | Zbl

[6] Cox, J., Ross, S., Rubinstein, M.: Option pricing: A simplified approach. Journal of Financial Economics 7 (1979), 229–263. | DOI | Zbl

[7] Datar, V., Mathews, S.: European real options: An intuitive algorithm for the black Scholes formula. Journal of Applied Finance 14 (2004), 7–13.

[8] Datar, V., Mathews, S., Johnson, B.: A practical method for valuing real options: The Boeing approach. Journal of Applied Corporate Finance 19 (2007), 95–104. | DOI

[9] Dorweiler, P.: A survey on risk credibility in experience rating. Proceedings of the Casualty Actuarial Society 21 (1934), 1–25.

[10] Dubofsky, D. A., Miller, T. W.: Derivatives – Valuation and Risk Management. Oxford University Press, New York, 2003.

[11] Kulatilaka, N., Marcus, A.: Project valuation under uncertainty: When does DCF fail?. Journal of Applied Corporate Finance 5 (1992), 92–100. | DOI

[12] Nau, R.: De Finetti was right: probability does not exist. Theory and Decision 51 (2002), 89–124. | DOI | MR