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  • 标题:An Assessment of the Option to Reduce the Investment in a Project by the Binomial Pricing Model
  • 本地全文:下载
  • 作者:Salvador Cruz Rambaud ; Ana María Sánchez Pérez
  • 期刊名称:Information Technology And Control
  • 印刷版ISSN:2335-884X
  • 出版年度:2017
  • 卷号:28
  • 期号:5
  • 页码:514-523
  • DOI:10.5755/j01.ee.28.5.17636
  • 语种:English
  • 出版社:Kaunas University of Technology
  • 摘要:Real options are a powerful complement to traditional methods of investment project assessment, such as the Net Present Value, when the value of some business strategies has to be included. This paper presents a methodology to calculate the value of the real option to reduce an investment project within one, two, and n periods. It is well known that the option to reduce quantifies the value of the operational flexibility available to protect a business against possible losses generated by the project. Thus, to derive its value, the procedure implemented here consists in obtaining a mathematical expression for each of the aforementioned periods, based on a detailed construction of every possible future scenario and its associated probability by the multiplicative binomial method.
  • 其他摘要:Real options are a powerful complement to traditional methods of investment project assessment, such as the Net Present Value, when the value of some business strategies has to be included. This paper presents a methodology to calculate the value of the real option to reduce an investment project within one, two, and n periods. It is well known that the option to reduce quantifies the value of the operational flexibility available to protect a business against possible losses generated by the project. Thus, to derive its value, the procedure implemented here consists in obtaining a mathematical expression for each of the aforementioned periods, based on a detailed construction of every possible future scenario and its associated probability by the multiplicative binomial method. DOI: http://dx.doi.org/10.5755/j01.ee.28.5.17636
  • 关键词:Real option;option to reduce;binomial pricing model;investment project assessment;financial engineering
  • 其他关键词:Real option;option to reduce;binomial pricing model;investment project assessment;financial engineering
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