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Lari Hadelan,Mario Njavro,Vjekoslav Par
Poljoprivreda (Osijek) , 2009,
Abstract: This paper is aimed to stress the modern methods of project value analysis based on valuation of opportunities emerged during the project’s life. Traditional appraisal methodology can hardly incorporate option value and quantify management flexibility. Therefore, traditional investment appraisal should be completed with option value evaluation (Real Option). The appliance of option quantification is showed on a model of plum and plum brandy production as an extension activity. Results of traditional NPV analysis for 1 ha of plum production imply to be unacceptable. On the other hand, economic analysis of extended plum brandy production indicates high profitability. It implies that plum plantation has an option calculated using Black-Scholes and Binomial model. Plum production strategic NPV that includes option value is in this case 2 950.54 EUR indicating acceptability of investment.
Suggestions on Real Option Pricing in B/S Model
Yun Yang
International Journal of Business and Management , 2009,
Abstract: Based on the most popularizing B/S model, this paper has analyzed some obstacles as obtaining the pricing parameters in real option pricing model in detail. The pricing formula should be adjusted according to changing situation to meet the special requirements of investment project.
A Fuzzy Pay-Off Method for Real Option Valuation  [PDF]
Mikael Collan,Robert Fullér,József Mezei
Advances in Decision Sciences , 2009, DOI: 10.1155/2009/238196
Abstract: Real option analysis offers interesting insights on the value of assets and on the profitability of investments, which has made real options a growing field of academic research and practical application. Real option valuation is, however, often found to be difficult to understand and to implement due to the quite complex mathematics involved. Recent advances in modeling and analysis methods have made real option valuation easier to understand and to implement. This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of number of different types of fuzzy numbers with the method and an application of the new method in an industry setting.
Methodological and Practical Problems of Real Option Valuations
Pawe? Mielcarz
Contemporary Economics , 2007,
Abstract: The article deals with the problem of application the financial options valuation theory into the real options valuation. It consists three parts. The first one presents the methodology background of the financial option valuation models. This part gives the general outlook on the problems which occurs in the process of adopting the methodology to solve the capital budgeting problems. The main problem concerns the lack of market valuated instrument which could be used to compose the replicating portfolio for payouts from real options. In the second part, there are presented attempts to solve the problem of the replicating portfolio of the real options which appeared in the financial literature. There is presented the Market Asset Declaimer as a one of the most appealing solution from the practical perspective. The last part of the article discusses the application issues of different analytical tools. The conclusions indicate that binominal trees methodology is more suitable to implement the real options methodology in decision processes than other tools.
Real Options in Capital Budgeting. Pricing the Option to Delay and the Option to Abandon a Project
Nicoleta Vintila
Theoretical and Applied Economics , 2007,
Abstract: Traditional discounted cash-flows method for assessing projects assumes that investment decision is an irreversible one, which is not correct. Managers can and must reconsider their initial decision as the new information arises during the project life. This is managerial flexibility and it creates strategic value for a project, only if management takes advantage of the opportunities associated with an analyzed project. Real options represent a new approach in capital budgeting, using the theory of pricing financial options for investments in real assets. In this paper, we emphasize the characteristics and valuation methodologies of real options. The objective in the last section is pricing the option to delay and the option to abandon a project in construction materials field.
A Real Option Model with Uncertain, Sequential Investment and with Time to Build
Guilherme B. Martins,Marcos Eugênio da Silva
Revista Brasileira de Finan?as , 2005,
Abstract: This article develops a real option model with uncertain and sequential investment and with time to build. The model includes options to entry and to exit the activity and addresses the maximization problem of a company in view of the investment opportunity. The differential equation of the asset is obtained by using dynamic programming and risk neutral evaluation. Particularly, for the construction period, the differential equation is partial and elliptical, which demands the use of numeric methods. The main results of the article are that (i) with uncertain and sequential investment and with time to build, the waiting value, which creates a gap between the investment decision rule based on NPV and that based on a real option model, may not very significant and (ii) the increase in uncertainty may anticipate the decision to investment.
The Project Valuation with Abandonment and Reset Investment Proportion Applying Real Option Method  [PDF]
Yi-Long Hsiao, Li-Ling Chen
Journal of Mathematical Finance (JMF) , 2014, DOI: 10.4236/jmf.2014.45028
Abstract: We discuss the valuation of investment project in a firm applying a real option method with abandonment and reset investment proportion. We take the depreciation value of the facilities and the research and development (R & D) fee into consideration. Our contribution is to derive a pricing model of two-stage optimal decisions allowing abandonment and reset investment proposition. Different from the net present value (NPV) or discount cash flow (DCF), the real option method can efficiently catch the uncertainty in the market, and it can help managers to make the optimal policy for the project. We can improve our method for a multi-stage decision model or a continuous decision model in the further researches.
An Estimation of Fertility Level in China, 2000~2010

- , 2015,
Abstract: 摘要 近年来,有关中国妇女近期生育水平的研究很多,各类研究由于采用的数据和方法不同,结果不尽相同。在这些讨论中,出生人口数的数据质量和调整是各类研究结果差异较大的关键。文章使用2000年、2010年两次中国人口普查中提供的妇女人口数和国家统计局公布的10年间的生育分布模式,在考察两次人口普查女性人口漏报的基础上,应用Preston和Coale提出的变量r方法,对中国2000~2010年的净人口再生产率进行了估计。同时,文章计算出这10年间的总和生育率约为1.60左右。变量r方法对于具体的出生人口数量和育龄妇女数量的数据质量要求较低,且在多项研究中经过实践的检验。但是,在实际研究中无论应用何种人口学方法,都应注意其前提假设,仔细检查数据,减少可能存在的偏差。
Abstract:Recent studeis on the fertility level in China are of controversy as various mehods and data sources have led to inconsistent results. This paper applies Preston and Coale’s (1982) variable-r method to assess the fertility level in China between 2000 and 2010. This method has been applied in various kinds of research and proved efficacious. By adopting relative age distribution data from China’s 2000 and 2010 censuses as well as fertility pattern from annual sampling surveys published by National Bureau of Statistics of China, the variable-r method under different scenarios of completeness of coverage suggests that Chinese fertility during 2000 and 2010 is around 1.60. This paper also emphasizes the imporantce of examing the underlying assumptions of this method before applying it in emprical research.
Incidence of pancreatic cancer in Greenland 2000–2010  [cached]
Jakob Kirkegaard
International Journal of Circumpolar Health , 2012, DOI: 10.3402/ijch.v71i0.18368
Abstract: Background. Inuit people are known to be at an increased risk of cancers usually uncommon to the western world such as cancers of the nasopharynx and salivary glands. But what is the trend regarding pancreatic cancer? Objective. To determine the incidence of pancreatic cancer (PC) in Greenland compared with Denmark in the period 2000–2010. Study design. Retrospective register-based study. Cases were retrieved from The Danish Cancer Register and The Greenlandic Patient Register and stratified in 5-year age intervals for each year. Age-standardized incidence ratios (SIR) for each year for Greenland compared with Denmark were calculated using the number of cases and the number of inhabitants in each 5-year age interval and in each country. The average SIR for the entire period was calculated using a weighted average. Results. The study revealed a SIR of 2.38 (95% CI: 1.97–2.86; p<0.0001) indicating a significantly increased incidence of PC in Greenland compared with Denmark. A linear regression analysis showed no significant change in the SIR over time (p for trend 0.25) as well as no significant change isolated in Greenland (p for trend 0.8). Furthermore, the Inuit were significantly younger at the time of diagnosis (mean 62.7 vs. 70.0; p<0.0001). Conclusions. The age-standardized incidence of PC is 138% higher in Greenland than in Denmark. A part of this could be explained by a higher prevalence of smoking and DM-2. However, the impact of genetic factors cannot be disregarded and should be subjected to further investigation.
The Evaluation of Layout Design Based on Real Option Approach

XU Jin,ZHANG Xiang-jian,

系统工程理论与实践 , 2004,
Abstract: According to the market uncertainty, risk differences and dynamic series of investment decision, the real option approach is put forward to evaluate the layout design, and an example is given in order to demonstrate the objectiveness and effectiveness of real option method.
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