Practical guide to real options in discrete time

• 成果类型: Article
• 署名作者: Boyarchenko, Svetlana; Levendorskii, Sergei
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2007.00427.x
• 发表日期: 2007
• 页码: 311-342
• 关键词: uncertainty; INVESTMENT; american

摘要

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This article suggests a general, computationally simple approach to real options in discrete time. Explicit formulas are derived even for embedded options. Discrete time processes reflect the scarcity of observations in the data, and may account for fat tails and skewness of probability distributions of commodity prices. The method of this article is based on the use of the expected present value operators.