Real options in leasing: The effect of idle time
成果类型：
Article
署名作者：
Kenyon, C; Tompaidis, S
署名单位：
International Business Machines (IBM); IBM Switzerland; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.49.5.675.10604
发表日期：
2001
页码：
675-689
关键词：
摘要：
We study options on short-term leases for capital-intensive equipment performing specific functions and services, such as leases for semi-submersible drilling rigs, marine seismic services, corporate real estate leasing, retail space leasing, and apartment leasing. We quantify the effect of an important factor in pricing options on these services: idle time between consecutive lease contracts. We show that while the expected, discounted value for a contract with options is unique, option prices and option exercise prices must be given with respect to a payment structure for the whole contract. We prove that there exist payment schemes in which prices do not depend on exercise probabilities. We use a simple analytic model to derive closed-form solutions for option prices and illustrate our methodology by pricing options for leasing oil-drilling services in the North Sea.