FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A86077457" target="_blank" >RIV/61989100:27510/10:86077457 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS
Original language description
This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options.. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. . In the end, results are presented graphically; selected statistics and riskmeasures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GP402%2F07%2FP121" target="_blank" >GP402/07/P121: Real options and conditions and possibilities of their application in the energy sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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