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

• Authors: Krzysztof Targiel

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.

Keywords

PL

Opcje realne; Wycena opcji

EN

Options pricing; Real options

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 178
• Pages: 220-234

Contributors

author

Krzysztof Targiel

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.

Identifiers

ISSN

2083-8611