FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS

Popis výsledku anglicky

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.

Druh

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

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GP402%2F07%2FP121" target="_blank" >GP402/07/P121: Reálné opce a podmínky a možnosti jejich aplikace v odvětví energetiky</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název periodika

AIP Conference Proceedings

ISSN

0094-243X

e-ISSN

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Svazek periodika

2010

Číslo periodika v rámci svazku

1239

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

8

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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