Aplikace metodologie amerických reálných switch opcí - zobecněný přístup

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F08%3A00018418" target="_blank" >RIV/61989100:27510/08:00018418 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Application of the American Real Flexible Switch Options Methodology - A Generalized Approach

Popis výsledku v původním jazyce

The paper deals with the inclusion of flexibility in financial decision-making under risk. It describes the application of the real options methodology with the possibility of sequential multinomial decision-making. The basic intention is to describe andapply a generalized approach and methodology of the flexibility modeling and valuation based on multiple choices and non-symmetrical switching costs under risk. The stochastic dynamic Bellman optimization principle is explained and applied. The optimization criterion of the present expected value is derived and used. Likewise, an option valuation approach based on replication strategy and risk-neutral probability is applied. An illustrative example of the aplication of the real multinomial flexible non-symmetrical switch options methodology is presented for three chosen models. The options flexible values are computed. The usefulness, effectivness, and suitability of applying the generalized flexibility model in company valuation and p

Název v anglickém jazyce

Application of the American Real Flexible Switch Options Methodology - A Generalized Approach

Popis výsledku anglicky

The paper deals with the inclusion of flexibility in financial decision-making under risk. It describes the application of the real options methodology with the possibility of sequential multinomial decision-making. The basic intention is to describe andapply a generalized approach and methodology of the flexibility modeling and valuation based on multiple choices and non-symmetrical switching costs under risk. The stochastic dynamic Bellman optimization principle is explained and applied. The optimization criterion of the present expected value is derived and used. Likewise, an option valuation approach based on replication strategy and risk-neutral probability is applied. An illustrative example of the aplication of the real multinomial flexible non-symmetrical switch options methodology is presented for three chosen models. The options flexible values are computed. The usefulness, effectivness, and suitability of applying the generalized flexibility model in company valuation and p

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2008

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr - Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

—

Svazek periodika

58

Číslo periodika v rámci svazku

5-6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

15

Strana od-do

—

Kód UT WoS článku

000259075600004

EID výsledku v databázi Scopus

—