real options analysis in the engineering company practice

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ID: 150968
2013
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Abstract
In this paper, we deal with the real options analysis of selected investment projects. This approach is supplemented and compared to calculations of the net present value (NPV). Two research problems are analyzed: acquisition of the simulation software for the foundry industry in the sense of the expansive options and options on leaving the project in the case of acquisition of the spectrometer. For the option valuation, there were used analytical and numerical methods like the Black-Scholes model, binomial model and Monte Carlo simulations. In the case of binomial pricing model we used modification describing the behavior of the project’s cash-flow (CF) due to capacity of the company, path-dependent addiction and embedded option barrier. To extend the application of the real options analysis, we propose procedures for sensitivity analysis and option pricing based on Monte Carlo simulations for particular case of stochastic volatility.
Reference Key
klep2013actareal Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Václav Klepáč;Petr Kříž;David Hampel
Journal Talanta
Year 2013
DOI
10.11118/actaun201361072303
URL
https://acta.mendelu.cz/61/7/2303/
Keywords
monte carlo simulation net present value

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