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ARE REAL OPTIONS "REAL"? ISOLATING UNCERTAINTY FROM RISK IN REAL OPTIONS ANALYSIS [PDF]

Annals of Financial Economics, 2014
This paper derives an adjusted Black–Scholes pricing formula. In separating risk and uncertainty using the robust control technique, we find that both uncertainty and risk raise management's subjective evaluation of real options. We suggest a simple method to filter the risk of the project and to acquire a more reliable value of real options without ...
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Decision Analysis and Real Options: A Discrete Time Approach to Real Option Valuation

Annals of Operations Research, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Brandão, Luiz E., Dyer, James S.
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VaR in Real Options Analysis

SSRN Electronic Journal, 2004
AbstractCash Flow from operations can be controlled using real options. In this normative paper, we quantify Trigeorgis's intuition[Trigeorgis, L., 1996. Real options: Managerial flexibility and strategy in resource allocation. Cambridge, MA: MIT Press](p 123), about the risk management properties of real options with respect to downside risk.
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Real options analysis for smart grid

Proceedings of the 16th Annual International Conference on Digital Government Research, 2015
Smart cities depend on smart grid for resilient energy delivery and improved energy efficiencies. This paper employs the real option approach (ROA) to study the investment decision of information technology innovation in the case of smart grid adoption under uncertainty.
Shu Feng, Jing Zhang, Yue Gao
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Evaluating Real Estate Development Using Real Options Analysis

SSRN Electronic Journal, 2009
This paper uses an example involving a commercial real estate project to demonstrate the practical application of real options analysis. The approach described can be used to value the project at any stage of construction, which is especially useful when market conditions are poor and suspension of many partly-completed projects is being considered. It
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Hostile takeovers or friendly mergers? Real options analysis

Journal of Corporate Finance, 2019
This study analyzes a real options model of mergers and takeovers between two firms facing different but correlated uncertainty in profits. It is assumed that firms can choose two alternatives; hostile takeover or friendly merger. In a hostile takeover, a bidder firm takes all the extra value but incurs takeover costs, while in a friendly merger, both ...
Takeshi Ebina, Yuya Kumakura, Katsumasa Nishide   +2 more
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Real option analysis of a technology portfolio

Review of Financial Economics, 2006
AbstractThis article contributes to methodology of real options analysis of investments in capital intensive process industries, where relatively homogenous outputs are produced using commonly known production technologies. In addition to capacity expansion, the method can be used for analysis of mergers and acquisitions.
Petri Hilli, Maarit Kallio, Markku Kallio   +2 more
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