Real Options Analysis in the Engineering Company Practice

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Real Options Analysis in the Engineering Company Practice

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Real Options Analysis in the Engineering Company Practice

Popis výsledku anglicky

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.

Druh

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

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

61

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

2303-2309

Kód UT WoS článku

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EID výsledku v databázi Scopus

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