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Estymacja parametrów drzew dwumianowych dla celów wyceny opcji realnych

100%
Targiel K.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 895
47-58
EN
Real options are a tool used in both strategic and project management, endowing companies and projects new value. Among the many valuation methods, of particular importance is binomial tree method, which assumes that the value of real options depends on what is called the state variable. Additional value stems from the fact that this variable occurs in the stochastic process, and is therefore able to achieve useful values. Binomial tree method consists of covering this process with a graph. The size of the growth and decline remains constant, but the problem is to adjust the values such that the whole tree, as best it can, will cover the future movements of the state variable. The paper presents how to estimate these parameters and assess their impact on the cover the future changes of a state variable with a binomial tree. To this end I introduce a measure of coverage quality.
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