Real Options Analysis in the Engineering Company Practice
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00212253" target="_blank" >RIV/62156489:43110/13:00212253 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.11118/actaun201361072303" target="_blank" >http://dx.doi.org/10.11118/actaun201361072303</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201361072303" target="_blank" >10.11118/actaun201361072303</a>
Alternative languages
Result language
angličtina
Original language name
Real Options Analysis in the Engineering Company Practice
Original language description
In this paper, we deal with the real options analysis of selected investment projects. This approach is supplemented and compared to calculations of the net present value (NPV). Two research problems are analyzed: acquisition of the simulation software for the foundry industry in the sense of the expansive options and options on leaving the project in the case of acquisition of the spectrometer. For the option valuation, there were used analytical and numerical methods like the Black-Scholes model, binomial model and Monte Carlo simulations. In the case of binomial pricing model we used modification describing the behavior of the project's cashflow (CF) due to capacity of the company, path-dependent addiction and embedded option barrier. To extend theapplication of the real options analysis, we propose procedures for sensitivity analysis and option pricing based on Monte Carlo simulations for particular case of stochastic volatility.
Czech name
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Czech description
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Classification
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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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
61
Issue of the periodical within the volume
7
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
7
Pages from-to
2303-2309
UT code for WoS article
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EID of the result in the Scopus database
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