Valuing Modularity as a Real Option

• 成果类型: Article
• 署名作者: Gamba, Andrea; Fusari, Nicola
• 署名单位: George Washington University; University of Verona; Universita della Svizzera Italiana; University of Geneva
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1090.1070
• 发表日期: 2009
• 页码: 1877-1896
• 关键词: real options; modularity; least-squares Monte Carlo

摘要

We provide a general valuation approach for capital budgeting decisions involving the modularization in the design of a system. Within the framework developed by Baldwin and Clark (Baldwin, C. Y., K. B. Clark. 2000. Design Rules: The Power of Modularity. MIT Press, Cambridge, MA), we implement a valuation approach using a numerical procedure based on the least-squares Monte Carlo method proposed by Longstaff and Schwartz (Longstaff, F. A., E. S. Schwartz. 2001. Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. 14(1) 113-147). The approach is accurate, general, and flexible.