Results 1 to 10 of about 70 (70)
The Worst Case for Real Options [PDF]
Journal of Optimization Theory and Applications, 2010 The problem of the timing of an investment decision under partial information is analyzed in a framework where the firm is ambiguity averse. The analysis yields the description of a robust decision rule for an investment in a finite life project in presence of a stochastic instantaneous return.
Peter M. Kort +2 more
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Henley Manager Update, 2005 The notion of ‘real options’ applies option pricing theory to non-financial assets. The complexity of modelling investments as options has meant that, to date, options literature has had relatively little impact on management practices. This article examines recent attempts to find an optimum methodology for evaluating real options; with the plethora ...
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Real Options and Risk Dynamics [PDF]
The Review of Economic Studies, 2015 We examine the asset pricing implications of a neoclassical model of repeated investment and disinvestment. Prior research has emphasized a negative relation between productivity and equity risk that results from operating leverage when capital adjustment is costly.
Hackbarth, Dirk, Johnson, Timothy
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, 2015 When (real sector) investment projects are characterized by a substantial degree of uncertainty and irreversibility, and carry some flexibility in the timing of execution, they are conceptually analogous to financial options. As such, the concepts and valuation models developed in the financial options literature can also be applied to characterize and
Engelen, P.J., Cassimon, Danny
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Journal of Banking & Finance, 2017 Although the academic literature on real options has grown enormously over the past three decades, the adoption of formal real option valuation models by practitioners appears to be lagging. Yet, survey evidence indicates that managers’ decisions are near optimal and consistent with real option theory.
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Capabilities as Real Options [PDF]
Organization Science, 2001 Strategy research consists of a balance between positive and normative theory. Normative theories suggest particular heuristics, or cognitive representations, to find appropriate solutions. Heuristics permit faster solutions to real-time problems; they also suffer from the potential of negative transfer to inappropriate applications.The theory of real ...
Nalin Kulatilaka, Bruce Kogut
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Real Options and Threshold Strategies [PDF]
, 2016 The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal investment time is induced by threshold strategy.
Alexander Slastnikov, Vadim Arkin
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Ambiguity in a Real Option Game [PDF]
SSRN Electronic Journal, 2015 In this paper we study a two-player investment game with a first mover advantage in continuous time with stochastic payoffs, driven by a geometric Brownian motion. One of the players is assumed to be ambiguous with maxmin preferences over a strongly rectangular set of priors. We develop a strategy and equilibrium concept allowing for ambiguity and show
Hellmann, Tobias, Thijssen, Jacco J. J.
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Real options and institutions [PDF]
Journal of International Business Studies, 2017 This article shows how growth options are affected by two types of external uncertainty: Transactional uncertainty that stems from institutional voids and increases transaction costs, and economic uncertainty that arises from the business environment.
Sjoerd van Bekkum +2 more
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