PL EN


2014 | 178 | 220-234
Article title

Modelowanie zmian zmiennych stanu w modelu dwumianowym do celów wyceny opcji realnych

Content
Title variants
EN
Modeling Changes in State Variable for Purpose of Real Options Valuation
Languages of publication
PL
Abstracts
EN
The concept of real options mean the actual (real) opportunities arising in business processes. We are not obliged to use them. Noticing these capabilities creates added value of the project. Its use depends on quantitative measurement. It is assumed that this value is dependent on some economic size called state variable. Additional value is derived from the fact, that the state variable moves in a stochastic process, thus being able to achieve a advantageous level. Widely used method for the valuation of real options is binomial tree method (CRR - Cox, Ross and Rubinstein). The idea is to cover the future trajectory of the state variable with lattice. The size of the lattice depends on the nature of the stochastic process, which we can model the state variable changes. The presented work is devoted to determining, on the basis of past changes, the type of stochastic process which is best for modeling the state variable changes, and determine on this basis of the best lattice covering the future trajectory of this variable.
Year
Volume
178
Pages
220-234
Physical description
Contributors
References
  • Cox J.C., Ross S.A., Rubinstein M., 1979: Option Pricing: A Simplified Approach. "Journal of Financial Economics", No. 7, 229-263.
  • Dixit A.K., Pindyck R.S., 1994: Investment under Uncertainty. Princeton University Press, Princeton.
  • Gątarek D., Maksymiuk R., 1998: Wycena i zabezpieczenie pochodnych instrumentów finansowych. Wydawnictwo Liber, Warszawa.
  • Guthrie G., 2009: Real Options in Theory and Practice. Oxford University Press, Oxford.
  • Seydel R.U., 2009: Tools for Computational Finance. IV Ed. Springer-Verlag, Berlin.
  • Weron A., Weron R., 1998: Inżynieria finansowa. WNT, Warszawa.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-660d8bfd-3a8c-4fd2-8a79-f1f463c33cfe
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