Ein allgemeines Binomialmodell zur Bewertung von Realoptionen
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Ein allgemeines Binomialmodell zur Bewertung von Realoptionen
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 60–84
Additional Information
Article Details
Author Details
Andreas Gintschel, Rochester/USA
References
-
Bierman, H. und S. Smidt (1980): The Capital Budgeting Decision: Economic Analysis of Investment Projects. New York.
Google Scholar -
Brealey, R. S. und S. C. Myers (1991): Principles of Corporate Finance. New York.
Google Scholar -
Breeden, D. T. (1979): „An Intertemporal Asset Pricing Model with Stochastic Consumption and ‚Investment Opportunities.“ Journal of Financial Economics 7. 265 -96.
Google Scholar -
Brennan, M. J. (1958): „The Supply of Storage." American Economic Review 48. 50 - 72.
Google Scholar -
Brennan, M. J. (1991): „The Price of Convenience and the Valuation of Commodity Contingent Claims." in Lund, D./Oeksendal, B., Hrsg. (1991): Stochastic Models and Option Values: Application to Resources, Environment and Investment Problems. Amsterdam 33-71.
Google Scholar
Abstract
A General Binomial Model for Valuing Real Options
In the last decade, a substantial body of literature devoted to the real-options approach to valuation of real assets, complementary to the traditional net present value analysis, has emerged. The real-options approach is employed by an increasing number of corporations for capital budgeting. This paper presents a unified valuation model, which builds on the simple structure of a binomial process, for common types of real options. The valuation formula is adapted to the different types of real options by defining appropriately the gains from exercising the option. The model is extended easily to assets containing multiple real options. Necessary conditions for the application of the valuation method are discussed.