Thoughts about Selected Models for the Valuation of Real Options

Mikael Collan

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica (2011)

  • Volume: 50, Issue: 2, page 5-12
  • ISSN: 0231-9721

Abstract

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This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black & Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models used today and to discuss modeling perspectives for the future.

How to cite

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Collan, Mikael. "Thoughts about Selected Models for the Valuation of Real Options." Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica 50.2 (2011): 5-12. <http://eudml.org/doc/196820>.

@article{Collan2011,
abstract = {This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black & Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models used today and to discuss modeling perspectives for the future.},
author = {Collan, Mikael},
journal = {Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica},
keywords = {real option valuation; option valuation models; real option valuation; option valuation models},
language = {eng},
number = {2},
pages = {5-12},
publisher = {Palacký University Olomouc},
title = {Thoughts about Selected Models for the Valuation of Real Options},
url = {http://eudml.org/doc/196820},
volume = {50},
year = {2011},
}

TY - JOUR
AU - Collan, Mikael
TI - Thoughts about Selected Models for the Valuation of Real Options
JO - Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
PY - 2011
PB - Palacký University Olomouc
VL - 50
IS - 2
SP - 5
EP - 12
AB - This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black & Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models used today and to discuss modeling perspectives for the future.
LA - eng
KW - real option valuation; option valuation models; real option valuation; option valuation models
UR - http://eudml.org/doc/196820
ER -

References

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  4. Collan, M., Fullér, R., Mezei, J., A Fuzzy Pay-Off Method for Real Option Valuation, In: IEEE International Conference on Business Intelligence and Financial Engineering, IEEE, Beijing, PRC, 2009, 165–169. (2009) Zbl1175.91070MR2530016
  5. Collan, M., Fullér, R., Mezei, J., Fuzzy pay-off method for real option valuation, Journal of Applied Mathematics and Decision Systems 2009, doi: 10.1155/2009/238196 (2009), Article ID 238196, 1–14. (2009) Zbl1175.91070MR2530016
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  7. Datar, V., Mathews, S., European real options: An intuitive algorithm for the black Scholes formula, Journal of Applied Finance 14 (2004), 7–13. (2004) 
  8. Datar, V., Mathews, S., Johnson, B., 10.1111/j.1745-6622.2007.00140.x, Journal of Applied Corporate Finance 19 (2007), 95–104. (2007) DOI10.1111/j.1745-6622.2007.00140.x
  9. Dorweiler, P., A survey on risk credibility in experience rating, Proceedings of the Casualty Actuarial Society 21 (1934), 1–25. (1934) 
  10. Dubofsky, D. A., Miller, T. W., Derivatives – Valuation and Risk Management, Oxford University Press, New York, 2003. (2003) 
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  12. Nau, R., 10.1023/A:1015525808214, Theory and Decision 51 (2002), 89–124. (2002) MR1944461DOI10.1023/A:1015525808214

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