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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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An Analysis of the Economy of a Real Estate Development with Real Options

Korea Real Estate Academy, 2023
1. CONTENTS (1) RESEARCH OBJECTIVES The objective of this research is to explore the uncertainty and the irreversibility of the benefits of investment in the office building development project and to find that the economic analysis using real options provides investors with a tool to create direct and useful information.
Byeong Jun Rhim, Jung Hyun Moon
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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.
Luiz E. Brandão, James S. Dyer
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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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Introducing a Real Option Framework for EVA/MVA Analysis

SSRN Electronic Journal, 2020
For the first time, a framework is introduced that allows for a real options analysis to be performed in an EVA/MVA-embedded binomial tree. This framework enhances traditional EVA/MVA analysis so that it can capture the additional value generated through strategic decision making during a project’s life.
Tom Arnold, Timothy Falcon Crack, Cassandra D. Marshall, Adam Schwartz   +3 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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Real options analysis of the timing of IS investment decisions

Information & Management, 2002
Many information systems (IS) investments belong to a class of capital budgeting problem where there is an option: the investment may be made straight away or delayed for some period. A real options analysis could allow decision-makers to add value to these investment decisions by providing a framework that explicitly recognises uncertainty. This paper
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Real Options Analysis at a Glance

SSRN Electronic Journal, 2012
This paper discusses a project evaluation method which is theoretically superior to conventional methods like NPV or IRR, known as Real Options Analysis.
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