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Ein allgemeines Binomialmodell zur Bewertung von Realoptionen
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 60–84
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Andreas Gintschel, Rochester/USA
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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.