A Stochastic Control Framework for Real Options in Strategic Evaluation

2003. Auflage 2002
ISBN: 978-0-8176-4258-7
Verlag: Birkhauser Boston

Buch, Englisch, 288 Seiten, Format (B × H): 162 mm x 243 mm, Gewicht: 581 g

The theoretical foundation for real options goes back to the mid 1980s

and the development of a model that forms the basis for many current

applications of real option theory. Over the last decade the theory

has rapidly expanded and become enriched thanks to increasing research

activity. Modern real option theory may be used for the valuation of

entire companies as well as for particular investment projects in the

presence of uncertainty. As such, the theory of real options can serve

as a tool for more practically oriented decision making, providing

management with strategies maximizing its capital market value.

This book is devoted to examining a new framework for classifying real

options from a management and a valuation perspective, giving the

advantages and disadvantages of the real option approach. Impulse

control theory and the theory of optimal stopping combined with

methods of mathematical finance are used to construct arbitrarily

complex real option models which can be solved numerically and which

yield optimal capital market strategies and values. Various examples

are given to demonstrate the potential of this framework.

This work will benefit the financial community, companies, as well as

academics in mathematical finance by providing an important extension

of real option research from both a theoretical and practical point of

view.

Zielgruppe

Research

Autoren/Hrsg.

Vollert, Alexander

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

1 Overview.- 1.1 Background and Objectives of the Study.- 1.2 Organization of the Study.- 2 Introduction to Real Options.- 2.1 Basic Idea.- 2.2 Classification of Real Options.- 2.3 Discussion of the Real Options Approach.- 2.4 Conclusions.- 3 Real Options and Stochastic Control.- 3.1 Real Option Interactions and Stochastic Control.- 3.2 Introduction to Impulse Control and Optimal Stopping.- 3.3 Impulse Control Model for Valuing Real Options.- 3.4 Combined Impulse Control and Optimal Stopping.- 4 Valuing Real Options in a Stochastic Control Framework.- 4.1 Equivalence of Stochastic Control and Contingent Claims Analysis.- 4.2 Contingency Structure of Option Interactions.- 4.3 Example: Timing and Intensity of Investment.- 5 Extensions: Competition and Time Delay Effects.- 5.1 Competitive Interaction.- 6 Case Study: Flexibility in the Manufacturing Industry.- 6.1 Real Options and Volume Flexibility.- 6.2 Model.- 6.4 Numerical Analysis.- 6.5 Simulation Results.- 7 Conclusions and Extensions.