REÁLOPCIÓK szakirodalom (BFD )

REÁLOPCIÓK szakirodalom (BFD 2013-2014-2)

1. A geometriai Brown-mozgás feltevésének elfogadhatósága a reálopciók értékelésében (The acceptability of the assumption of geometric brownian motion in the valuation of real options) http://unipub.lib.uni-corvinus.hu/1038/ A reálopciók a döntési rugalmasság megtestesítőiként jelen vannak a vállalatvezetők mindennapjaiban, és cégtől függően jelentős értéket képviselhetnek. Értékelésük a hagyományos diszkontált pénzáramlás módszerekkel csak korlátozottan lehetséges, ezért alternatívaként felmerül a pénzügyi opcióárazás módszertana, amelynek hagyományos változatai az alaptermék alakulásáról geometriai Brown-mozgást feltételeznek. A cikk ezt a feltevést veszi górcső alá a reálopciókra történő alkalmazás szempontjából, és megmutatja, hogy habár önkényesnek tűnhet, valójában nem pusztán egy matematikai szempontból kényelmes megoldás, hanem pénzügyileg is elfogadható feltétel. _______ Real options represent the fl exibility of decision-making, and are thus part of the everyday work of corporate executives, often having great value. Valuing them with the use of traditional Discounted Cash Flow models has limited relevance, therefore arises the alternative methodology of fi nancial option pricing, the traditional versions of which assume that the price of the underlying asset follows Geometric Brownian Motion. The paper examines this assumption from the aspect of real option valuation and shows that although it might seem arbitrary, it is not only a mathematically convenient choice, but also a fi nancially acceptable one. 2. A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével = Modelling of the carbon dioxide emissions of a power plant, using real options http://www.kszemle.hu/tartalom/cikk.php?id=1372 Abstract A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai OrnsteinUhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző

RealOption 2014-02-26

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technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. ______ The carbon-dioxide emissions of an EU Emissions Trading System participant, gas-fuelled power generator are modelled by using real options for four underlying instruments (peak and off-peak electricity, gas, emission quota). This profit-maximizing power plant operates and emits pollution only if its profit (spread) on energy produced is positive. The future emissions can be estimated by a sum of European binary-spread options. Based on the real-option model, the expected value of emissions and its probability-density function can be deducted. Also calculable is the Value at Risk of emission quota position, which gives the cost of compliance at a given confidence level. To model the prices of the four underlying instruments, the geometric Ornstein-Uhlenbeck process is supposed and matched to public available price data from EEX. Based on the simulation model, the effects of various technological and market factors are analysed for the emissions level and the cost of compliance. 3. Információtechnológiai befektetési döntések: a reálopciós megközelítés helye az értékelésben Abstract Munkámban az információtechnológiai befektetések értékelésének új, opciós megközelítésének elméleti és gyakorlati relevanciáját vizsgálom. Elméleti szempontból az opciós értékelési formulák feltételezései a komplex IT projektek esetében csak részben teljesülnek, és paramétereikre is csak speciális esetekben létezik megbízható becslés. Gyakorlati szempontból viszont a hagyományos diszkontált pénzáramlás alapú módszerek opciós kiterjesztése indokolt a jövőbeli döntési lehetőségek hozzáadott értékének figyelembevételére. Vállalati menedzsment nézőpontból azonban egyelőre csupán a kvalitatív stratégiai eszköztár kiszélesítésében kap helyet az opciós szemlélet. Ezen megállapítások alapján a következő problémák állnak jelen- és jövőbeli munkám fókuszában: (1) a komplex IT projektek jellegzetességeihez illeszkedő opcióértékelési formula (2) és ennek paramétereire a gyakorlatban könnyen alkalmazható becslési módszer keresése, (3) majd ezek összegyúrása a kvalitatív opciós megfontolásokkal. Munkám végén – az IT és a pénzügyi irodalom szintéziseként – megfogalmazott javaslataim lehetővé teszik, hogy a reál opciós értékelés egyrészt feltételezéseiben alkalmazkodjon az IT beruházások jellegzetességeihez (amerikai típusú lehívás diszkrét felülvizsgálatai pontokon, idővel változó beruházási költségek, speciális és többlépcsős begyazott opciók) és emellett megtartsa gyakorlati relevanciáját, viszonylag átlátható és jól kommunikálható számítási módszerek segítségével. http://www.gei.uni-miskolc.hu/phd/informaciok/kiemelt_dolgozatok.pdf 4. Menedzsmentkommunikáció reálopciókkal – Rózsa Andre


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http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=811f4b81-8193-47f8-959d619cf7d91c50%40sessionmgr4004&vid=1&hid=4106 5. Információtechnológiai befektetési döntések: A reál opciós megközelítés helye az értékelésben – Aranyossy Márta http://unipub.lib.uni-corvinus.hu/226/1/Aranyossy_Miskolc_IT_opciok.pdf

6. A reálopciós megközelítés alkalmazása az építészetben – Csapi Vivien – Ratting Anita http://ugfk.ktk.pte.hu/files/tiny_mce/MM/0x_csapi-ratting.pdf A komplex építészeti projekteket körülvevő jelentős mértékű bizonytalanságnak, valamint a magas elsüllyedt költségek és a beruházás időzítésének rugalmassága közötti interakció kombinálásában rejlő potenciálnak együttese különösen érdekes területté teszi a reálopcióelmélet számára. Tanulmányunk célja, hogy rávilágítsunk az építészeti projektek tervezésében, működésében rejlő bizonytalansági és rugalmassági karakterisztikákra, illetve


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a reálopciós megközelítés alkalmazási lehetőségeire. Az ingatlanberuházók által viselt kockázat azonosítása kulcs kérdés az innovatív, fenntartható épületekbe való beruházás vonzerejének emelése szempontjából. 7. Modern beruházáselemzés: a reálopciók alkalmazása – Csizmadia Péter A dolgozatban bemutatásra kerülnek a reálopciók, melyek a beruházások értékelésének egy új megközelítését jelentik. A diplomamunka első részében szó esik a közismert diszkontált cash flow módszerekről, azon belül a nettó jelenértékről, a jövedelmezőségi indexről, és a belső megtérülési rátáról, majd ezen módszerek kritikájáról. Ezután összehasonlítom a pénzügyi és a reálopciókat, illetve leírom miért jobbak ezek a hagyományos projektelemző módszereknél. A dolgozat fő részében numerikus példákon keresztül mutatom be a reálopciók alkalmazási lehetőségeit, különböző modelleket. http://ganymedes.lib.unideb.hu:8080/dea/handle/2437/6219 8. A reálopciók alkalmazása a pénzügyekben – Nagy Enikő Napjainkban a vállalkozások fő célja a vállalati vagyon, illetve érték növelése. A vállalkozás értékteremtésének méréséhez, azaz a korábbi értékhez képest elért növekedés meghatározásához, szükséges, hogy megfelelően becsülni tudjuk a vállalat aktuális értékét. A befektetők szeretnék tudni, hogyan növekszik a befektetésük értéke, a befektetésük után milyen többlethozamra számíthatnak. A vállalatok és a beruházások értékelésében hagyományosan az ún. diszkontált cash-flow módszert használják. Ez a módszer az esetek többségében jól használható, azonban vannak olyan esetek, amikor az értékeléshez opcionális jövőbeli lehetőségek kapcsolhatók, esetleg a bizonytalanságot is kezelni kell. Az ilyenek esetek megoldására kezdték el használni a pénzügyi eszközök értékelésére kidolgozott opcióárazási módszereket a reáleszközök területén is. A cikkben bemutatásra kerül egy vállalatértékelési modell, amelyikben kiindulási értékként a vállalati vagyon értékelésére a szabad cash flow kerül felhasználásra, majd a becsült vagyonérték felhasználásával a reálopciós értékelés és a két-dimenziós Monte Carlo szimuláció összekapcsolásával kerül meghatározásra a vállalat piaci értéke. A modellt egy tőzsdei vállalat adatainak felhasználásával került tesztelésre, és a modell megoldása a R statisztikai programcsomagban meglévő opcióértékelési és szimulációs lehetőségek felhasználásával történt 9. A reálopció-elmélet alkalmazása a villamosenergia-szektorban - Csapi Vivien http://www.asz.hu/penzugyi-szemle-cikkek/2013/a-realopcio-elmelet-alkalmazasa-avillamosenergia-szektorban A standard értékelési eljárások legújabb és egyben azok legtöbb hiányosságának kiküszöbölésére alkalmas bővítménye a reálopció-elmélet. A pénzügyi opciókhoz hasonlóan a reálopciók birtoklásával – jogok és nem kötelezettségek – olyan működési/termelési


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fedezeti mechanizmusok tulajdonosaivá válunk, amelyek a rugalmasságot, a környezetre való aktív reagálás képességét viszik be a menedzseri eszköztárba azzal, hogy a pénzügyi termékeknél jelen lévő lehetőségeket fizikai eszközökre értelmezik. Jelen tanulmány célja a reálopciók beruházáselméleti térnyerésének, a reálopciók típusainak, azok rendelkezésre álló értékelési eljárásainak elemzése, valamint a reálopciós elemzés illusztrálása volt a villamosenergia-szektor egyedi szintű beruházásainak értékelése során. A 10 villamosenergia-termelési technológia esetében végrehajtott binomiális árazás részletes ismertetésével nem elsősorban a reálopciók által azonosított stratégiai értéknek megragadása, sokkal inkább magának az árazás lépéseinek ismertetése volt a célom. Az eredmények alapján a reálopció-elmélet felülmúlja a hagyományos beruházásértékelési eljárásokat mind a bizonytalanság, mind a rugalmasság kezelése terén. 10. Fekete Csaba - Telekommunikációs beruházások, mint reálopciók A telekommunikációs beruházásokra általánosságban jellemző a nagy tőkeigény, a lassú, években mérhető megtérülési idő, a nehezen prognosztizálható piaci trendek, és ebből következően a nagyfokú üzleti bizonytalanság. Az iparág momentuma nagy, a beruházási döntések hosszú távra szólnak, ezek változtatása, módosítása az esetek többségében jelentős költségekkel jár. A befektetéssel kapcsolatos döntések nagy felelősségűek, szigorú mérlegelést igényelnek. Dolgozatomban a beruházói döntéshozatalt segítő reálopciós módszereket szándékozom megmutatni. Az első részben röviden bemutatom a reálopciók általános elméletét, pénzügyi opciókkal való analógiájukat és gyakrabban előforduló típusait. Ezt követően egy ma aktuális üzleti modellre építve ismertetem a reálopciós elméletek alkalmazási lehetőségeit. A kvalitatív leírás mellett konkrét számításokkal is alátámasztom az egyes reálopciók értékeit. Annak érdekében, hogy a bizonytalanság szerves részét képezze a modellnek, a rögzített bemeneti paraméterű diszkontált cash-flow számítást kiegészítem egy Monte-Carlo szimulációval, bizonyos bemeneti adatokat valószínűségi változóként definiálva. A szimuláció eredményeként kapott “empirikus” szórást használom a későbbiekben az opciós értékek kalkulációjához. Megmutatom a növekedési, kiszállási, várakozási, választási és változó volatilitású opciók számításának módszereit, részletezem a Black-Scholes formula és a binomiális módszer adta előnyöket és hátrányokat. A dolgozat záró részeként megmutatom a reálopciók használatának korlátait, kiemelve a reálopciós döntések interaktív jellegét. Kísérletet teszek a reálopciós- és a játékelmélet kapcsolatának rövid ismertetésére és ennek egy konkrét példán keresztüli demonstrálására. http://www.doksi.hu/get.php?order=DisplayPreview&lid=11770&p=1 11. Harvard Business Review – A real-world way to manage real options – by Tom Copeland and Peter Tufano http://people.sabanciuniv.edu/atilgan/FE538_Spring2012/March5/Copeland-Tufano_HBR04_RealWorldRO.pdf Real options don’t have to be a black box. Here’s an approach that not only makes the math of options easier but also helps you make better decisions about exercising them.


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12. Harvard Business Review – Strategy as a Portfolio of Real Options – by Timothy A. Luehrman http://engineeringexecutiveforum.com/Internal%20files/Strategy%20As%20a%20Portfolio%20of%20Options.pdf

13. Harvard Business Review – Investment Opportunities as Real Options: Getting Started ont he Numbers – by Timothy A. Luehrman http://brainmass.com/file/229455/investment+opportunities+as+real+options+getting+started+on+the+numbers.pdf

Ha a lenti linkek nem nyílnának meg az alábbi linken elérhetőek: http://www.emeraldinsight.com/books.htm?issn=07423322&volume=24 14

Part I: Introduction Real Options in Strategic Management Tony W. Tong, Jeffrey J. Reuer (pp. 3 - 28) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (217kb) ] | Reprints & permissions

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Part II: Advances in Real Options Research in Strategy Real Options: Taking Stock and Looking Ahead Yong Li, Barclay E. James, Ravi Madhavan, Joseph T. Mahoney (pp. 31 - 66) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (292kb) ] | Reprints & permissions

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Real Options Theory and International Strategy: A Critical Review Jing Li (pp. 67 - 101) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (252kb) ] | Reprints & permissions

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Joint Ventures and Real Options: An Integrated Perspective Ilya R.P. Cuypers, Xavier Martin (pp. 103 - 144) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (303kb) ] | Reprints & permissions

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How Do Real Options Matter? Empirical Research on Strategic Investments and Firm Performance Jeffrey J. Reuer, Tony W. Tong (pp. 145 - 173) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (232kb) ] | Reprints & permissions

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Part III: Real Options and Strategic Investment Decisions Strategic Growth Options in Network Industries Lihui Lin, Nalin Kulatilaka (pp. 177 - 198) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (194kb) ] | Reprints & permissions

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Market Versus Managerial Valuations of Real Options Timothy B. Folta, Jonathan P. O’Brien (pp. 199 - 224) Article type: Chapter Item


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Please login | Abstract & purchase [ HTML & PDF (199kb) ] | Reprints & permissions

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Deferral and Growth Options Under Sequential Innovation Michael J. Leiblein, Arvids A. Ziedonis (pp. 225 - 245) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (166kb) ] | Reprints & permissions

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Business Method Patents as Real Options: Value and Disclosure as Drivers of Litigation Atul Nerkar, Srikanth Paruchuri, Mukti Khaire (pp. 247 - 274) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (210kb) ] | Reprints & permissions

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Managing a Portfolio of Real Options Jaideep Anand, Raffaele Oriani, Roberto S. Vassolo (pp. 275 - 303) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (226kb) ] | Reprints & permissions

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Part IV: Organizational and Managerial Dimensions of Real Options Capabilities, Real Options, and the Resource Allocation Process Catherine A. Maritan, Todd M. Alessandri (pp. 307 - 332) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (203kb) ] | Reprints & permissions

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Real Options Meet Organizational Theory: Coping with Path Dependencies, Agency Costs, and Organizational Form Russell W. Coff, Kevin J. Laverty (pp. 333 - 361) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (208kb) ] | Reprints & permissions

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Real Options and Resource Reallocation Processes Ron Adner (pp. 363 - 372) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (99kb) ] | Reprints & permissions

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Why Invest in Firm-Specific Human Capital? A Real Options View of Employment Contracts Todd Fister, Anju Seth (pp. 373 - 402) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (216kb) ] | Reprints & permissions

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Part V: Performance Implications of Real Options An Examination of Options Embedded in a Firm's Patents: The Value of Dispersion in Citations Tailan Chi, Edward Levitas (pp. 405 - 427) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (190kb) ] | Reprints & permissions

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Technology Switching Option and the Market Value of the Firm: A Model and an Empirical Test Raffaele Oriani (pp. 429 - 458) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (268kb) ] | Reprints & permissions


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Strategic Implications of Valuation: Evidence from Valuing Growth Options Todd M. Alessandri, Diane M. Lander, Richard A. Bettis (pp. 459 - 484) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (167kb) ] | Reprints & permissions

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An Empirical Examination of Management of Real Options in the U.S. Venture Capital Industry Isin Guler (pp. 485 - 506) Article type: Chapter Item Please login | Abstract & purchase [ HTML & PDF (184kb) ] | Reprints & permissions

32 Jump up ^ Aswath Damodaran: Risk Adjusted Value; Ch 5 in Strategic Risk Taking: A Framework for Risk Management. Wharton School Publishing, 2007. ISBN 0-13-199048-9

33 Jump up ^ Dan Latimore: Calculating value during uncertainty. IBM Institute for Business Value 32 ^ Jump up to: a b Lenos Trigeorgis, Rainer Brosch and Han Smit. Stay Loose, copyright 2010 Dow Jones & Company.

33 Jump up ^ Cobb, Barry; Charnes, John (2004). "Real Options Volatility Estimation with Correlated 34 37. 38. 39.

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Inputs". The Engineering Economist 49 (2). Retrieved 30 January 2014. Jump up ^ Cortazar, Gonzalo; Gravet, Miguel; Urzua, Jorge (2008). "The valuation of multidimensional American real options using the LSM simulation method". Computers & Operations Research 35: 113–129. Jump up ^ Mathews, S.; Datar, V. (2007). "A Practical Method for Valuing Real Options: The Boeing Approach". Journal of Applied Corporate Finance 19 (2): 95–104. Jump up ^ Collan, M.; Fullér, R.; Mezei, J. (2009). "Fuzzy Pay-Off Method for Real Option Valuation". Journal of Applied Mathematics and Decision Sciences 2009 (13601): 1–15. doi:10.1155/2009/238196. Jump up ^ See Marco Dias: Does Risk-Neutral Valuation Mean that Investors Are Risk-Neutral?, Is It Possible to Use Real Options for Incomplete Markets?

Real Options Valuation

by S. G. Henderson , B. Biller , M. -h. Hsieh , J. Shortle , J. D. Tew , R. R. Barton , Barry R. Cobb , John M. Charnes Abstract Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for the valuation of real options that arise from the abilities of managers to influence the cash flows of the projects under their control. Option pricing theory supplements discounted cash flow methods of valuation by considering managerial flexibility. Managers ’ options to take actions that affect real investment projects are comparable to options on the sale or purchase of financial assets. Just as a financial option derives much of its value from the potential price movements of the underlying financial


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asset, a real option derives much of its value from the potential fluctuations of the cash flows generating the value of the investment project. http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.172.163

2. Real options valuation in energy markets by Zhou, Jieyun, Ph.D., GEORGIA INSTITUTE OF TECHNOLOGY, 2010 Abstract Real options have been widely applied to analyze investment planning and asset valuation under uncertainty in many industries, especially energy markets. Because of their close analogy to financial options, real options can be valued using the classical financial option pricing theories and their extensions. However, as real options valuation often involves complex payoff structures and operational constraints of the underlying real assets or projects, accurate and flexible methods for solving the valuation problem are essential. This thesis investigates three different approaches to real options valuation and contributes to aspects of modeling realism and computational efficiency. The contributions are illustrated through two important applications of real options in energy markets: natural gas storage and power plant valuation. Because spread options are commonly used in basic real options valuation techniques, the first part of the thesis addresses the problems of spread option pricing and hedging. We develop a new closed-form approximation method for pricing twoasset spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional numerical integration. Closed-form approximations for the Greeks of spread options are also developed. In addition, we analyze the price sensitivities of spread options and provide lower and upper bounds for digital spread options. We then further generalize the above results to multiasset spread options on an arbitrary number of assets. We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that both methods are extremely fast and accurate, with the latter method being more accurate than the former. Closed-form approximations for important Greeks are also derived. Because our approximation methods enable the accurate pricing of a bulk volume of spread options on two or more assets in real time, it offers traders a potential edge in a dynamic market environment. In the third part of this thesis, we propose a market-based valuation framework for valuing natural gas storage facility with realistic operational characteristics. The operational process is modeled as a multi-stage stochastic optimization problem. We develop a Gaussian quadrature scheme to solve for the dynamically optimal spot trading strategy and show that the computational efficiency of this method exceeds existing approaches in about two orders of magnitude. Furthermore, with this flexible


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quadrature scheme, we propose to value a gas storage based on a novel hybrid trading strategy that successfully incorporates both spot and forward trading, thus improving the storage valuation significantly by accounting for both the inter-month and intra-month operational flexibilities and price volatility. In the fourth part of this work, we develop a continuous-time formulation for power plant valuation in infinite time horizon. We propose a real-option-based model for a power plant to account for the embedded operational flexibility. This model incorporates start-up and shut-down costs as two major operational constraints. Under this continuous valuation model, spark spread is modeled directly as a continuous stochastic process to take account of the long term co-integration relationship between electricity and fuel prices. Instead of discretizing the stochastic process, we preserve continuity of the stochastic spark spread process and work directly with the value function. Closed-form of value function under threshold policy is obtained. The corresponding optimal operational strategy can then be solved. The advantage of this approach is that it reduces computational complexity while incorporates major operation characteristics. It enables fast computation of a power plant value that approximates the real market value and sensitivity analysis of the asset value with respect to the cost parameters of a power plant and the distribution parameters of spark spread. http://gradworks.umi.com/34/14/3414538.html

3. Real Options Valuation of Pharmaceutical Patents: A Case Study by Luigi Sereno University of Pisa - Facolta' di Economia, February 3, 2010 Abstract This study sets up a real options approach for evaluating patents as options to develop and commercialize new medicines. We provide a case study in patent evaluation, i.e. a ROVbased DCF approach for computing the value of an oncological drug patent. The real option approach relies on a well-established compound real option method extensively used by academics and corporate finance practitioners to deal with valuation of early-stage R&D projects. We show that the compound real option model can be practically used to model the underlying drug development project and thus to evaluate the patent. We provide a valuation of the drug patent using as much as possible data provided by one of the largest oncology-focused R&D companies in Europe. We apply a continuous-time model and a lattice method in order to find the value of this patent. Since it shows how to apply a compound real option method to value a patent it has a straightforward practical usefulness. This topic is mainly suggested by the critical and unresolved question concerning the economic valuation of patents.


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4. Valuing Real Options: Frequently Made Errors by Pablo Fernandez University of Navarra - IESE Business School, November 23, 2013 In this paper, we analyze frequently made errors when valuing real options. The best way of doing it is through examples. We start by analyzing Damodaran proposal to value the option to expand the business of Home Depot. Some of the errors and problems of this and other approaches are: - Assuming that the option is replicable and using Black and Scholes' formula. - The estimation of the option's volatility is arbitrary and has a decisive effect on the option's value. - As there is no riskless arbitrage, the value of the option to expand basically depends on expectations about future cash flows. However, Damodaran assumes that this parameter does not influence the option's value (he does not use it) because he assumes that the option is replicable. - It is not appropriate to discount the expected value of the cash flows at the risk-free rate (as is done implicitly when Black and Scholes' formula is used) because the uncertainty of costs and sales in the exercise date may be greater or less than that estimated today. - Damodaran's valuation assumes that we know exactly the exercise price. - Belief that options' value increases when interest rates increase. - "Play" with volatility. - Valuing contracts as real options when they are not. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=274855

5. A fuzzy linguistic ontology payoff method for aerospace real options valuation by James A. Rodger Expert Systems with Applications, Volume 40, Issue 8, 15 June 2013, Pages 2828–2840 Abstract In this paper, we present a fuzzy linguistic ontology payoff method for the valuation of real options in the aerospace industry. Using real data, we apply the fuzzy linguistic approach to determine the credibility measures and the credibilistic expected value for the fuzzy real options valuation payoff method. This approach is used to obtain a multi-scenario modeling process by envisioning three scenarios: optimistic, most likely, and pessimistic. In addition, our experience with the scenario estimates is premised on results in an operating profit forecast. This forecast corresponds to a plausible outcome within the aerospace licensing


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maintenance, repair, and overhaul market and provides a decision-making tool. This tool can be utilized for determining real options for project valuation of aerospace licensing revenues based on unit costs, recurring costs, and quantity of units sold.

6. On static hedging, real options and valuation of cash flows with skewed distributions by Jarno Talponen, 16 Dec 2013 Abstract We combine static hedging and real options valuation ideas to build a capital budgeting technique. Here one applies the market information of derivative prices on a traded 'quasi twin security' to benchmark a single-step stochastic cash stream. We provide a transparent, more or less closed-form solution for valuing these streams. The fundamental properties of this valuation rule are then studied. The derivation of the pricing rule is developed in such a way as to generalize intuitive real option considerations to continuous state step-by-step. We also discuss some required mathematical finance machinery as well as results of Breeden-Litzenberger type. http://arxiv.org/abs/1312.4227

7. Start-Up Firm Valuation: A Real-Options Approach by Matthias Bank, Katrin Wibmer Midwest Finance Association 2012 Annual Meetings Paper, September 8, 2011 Abstract Start-up firms typically produce negative cash flows in the first years after their foundation. As a consequence, standard discounted cash flow methods are not applicable, often forcing practioneers into using theoretically dissatisfying devices like multiples. In this paper, we develop a comprehensive and theoretically more convincing valuation framework for startup firms. Our analysis is based on a contingent claims approach in an arbitrage-free setting which - due to an alternative process assumption - explicitly allows for the negative earnings typically produced by start-up businesses in early stages of their development. The model allows for the derivation of optimal conditions for exercising the waiting option to invest in a start-up as well as its optimal capital structure upon establishment. Finally, we show how unexercised additional options to invest (growth options) - even if producing negative cash flows at the time of investment - may significantly contribute to the start-up firm's value. The explicit incorporation of additional investment options may serve as an explanation for observable high market values of start-up firms with low or negative current cash flows. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1928710


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8. Technology-Based Startup Valuation Using Real Options with Edgeworth Expansion Gastón Milanesi Gabriela Pesce, Emilio El Alabi Business Administration Department, Universidad Nacional del Sur, Bahía Blanca, Argentina Abstract There exists extreme difficulties while trying to valuate, using traditional valuation methods, startup firms which are dedicated to technological development. Among those methods, we could mention the balance sheet-based ones, the relative valuation ones, the cash flow discounting-based ones, and the goodwill-based ones. Those difficulties are the absence of comparable companies, the inexistence of historical data, the complexity to estimate volatility, and the number of intangible assets which give worth to the firm. This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns. Methodologically, we use real options theory adapted through Edgeworth expansion. It allows abandoning the probability of normal distribution assumption incorporating higher moments such us asymmetry and kurtosis. Obtained results let us show how the firm’s value and its strategic options are affected by stochastic higher moments’ behavior. These are often not considered because of assuming a normal behavior related to a random path of the underlying assets.

9. Valuing modularity as a real option Andrea Gamba, George Washington University Nicola Fusari, University of Lugano and Swiss Finance Institute July, 2009 Abstract We provide a general valuation approach for capital budgeting decisions involving the modularization in the design of a system. Within the framework developed by Baldwin and Clark (2000), we implement a valuation approach using a numerical procedure based on the Least Squares Monte Carlo method proposed by Longsta_ and Schwartz (2001). The approach is accurate, general and exible.

10. Selling and Managing Offshore Oil Leases: A Real Options Analysis Graham A. Davis, Colorado School of Mines Radford Schantz, US Department of the Interior Abstract Real option valuation is applied to modeling and valuing oil and gas properties leased by the US government with focus on offshore areas. The properties owned by the government are modeled as compound American-type calls on oil and gas with an infinite term, and their RealOption 2014-02-26

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exercise price is paid to nature. When the government leases these perpetual options to the private sector, it modifies their structure by imposing 5- to 10-year terms and other conditions. Diligence conditions in these leases are appropriate inasmuch as the decision of timing of exercise is made by the government when it leases out its options. However, current lease policy may result in exercise that is premature in respect of social economic efficiency. Total social loss of resource rent is estimated to be about 10% of the asset’s value. The principle policy implication is that if the finite lease terms are to be maintained, lease sales should be limited to oil options that are well in-the-money. http://www.berjournal.com/patent-valuation-and-real-options

11. Patent Valuation and Real Options Business and Economics Research Journal, 2011 by Deger Alper Abstract As the knowledge economics grows rapidly, businesses increasingly invest intellectual property and the value of intellectual property; patent, trademark, copyright etc., more emphasized in business nowadays. Thus, the valuation of intellectual property, specifically patents, has been one of the most difficult investment problems both for practitioners and academics. Traditional valuation methods fail to account for the unique characteristics of patents; uncertainty and management flexibility. Patents are option-like assets that give the owner a bundle of options; to commercialize the products, to file foreign application, to license the innovation etc. Real options represent the application of options methodology to strategic business decisions, and real option method provides a richer framework to analyse the issues that confront the valuation of patent. This paper uses real option model as a framework to correctly evaluate patent and contains real option model application to patent valuation.

12. Start-up firm valuation: A real-options approach Matthias Bank, Katrin Wibmer Working paper, University of Innsbruck, 21 March 2012 Abstract Start-up firms typically produce negative cash flows in the first years after their foundation. As a consequence, standard discounted cash flow methods are not applicable, often forcing practioneers into using theoretically dissatisfying de-vices like multiples. In this paper, we develop a comprehensive and theoretically more convincing valuation framework for startup firms. Our analysis is based on a contingent claims approach in an arbitrage-free setting which - due to an alternative process assumption - explicitly allows for the negative earnings typically produced by start-up businesses in early stages of their development. The model


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allows for the derivation of optimal conditions for exercising the waiting option to invest in a start-up as well as its optimal capital structure upon establishment. Finally, we show how unexercised additional options to invest (growth options) - even if producing negative cash flows at the time of investment – may significantly contribute to the start-up firm’s value. The explicit incorporation of additional investment options may serve as an explanation for observable high market values of start-up firms with low or negative current cash flows.

13. Describing Patents as Real Options by Christopher A. Cotropia The Journal of Corporation Law Vol. 34:4, 2009 A fairly robust economics literature exists which analogizes patents to real options. Real options create the right, but not the obligation, to purchase the underlying asset at a defined exercise price.1 A patent is like a real option, economists say, because it allows its owner to choose between exclusively commercializing the patented invention sometime during the patent term or foregoing commercialization altogether.2 Economists have taken this analogy and used real options analysis to place specific values on patents. A few economics articles have gone a step further, identifying some policy implications from the real options description of patents. The legal literature is a bit behind in using this analogy. A few scholars have engaged in the same valuation exercise as economists. Russell Denton and Paul Heald, for example, previously set forth a state of the art discussion of how to value patents using options analysis.4 Shaun Martin, Frank Partnoy, and Michael Abramowicz have taken the second step, arriving at definite policy conclusions based on a real options view of patents. This Article continues the use of real options in patent law by taking a step back. The Article proceeds in three parts. Part II describes the concept of real options and catalogs the existing economics and law literature discussing patents as real options. The Article then lays a foundation for previous and future discussions by describing in detail how patents are like real options. Specifically, Part III identifies the particular patent doctrines that make up the common components of a real option—the option price, the exercise price, the expiration date, and the value of the underlying asset. This descriptive analysis is a necessary first step in developing a robust theory of patents as real options— a theory that can have specific patent doctrine implications. Part III also describes how patents can be defined as a series of embedded options. From here, Part IV discusses some implications of using real options theory in patent law, and provides a preliminary taste of the benefits of using real options theory in patent law. Real options analysis allows both patent problems and patent solutions to be examined in terms of ―macro patent elements‖—elements defined by the operational components of a real option. Real options theory also facilitates viewing patents the same way industry views research and development projects—as real options. Finally, there is


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promise in the underlying enterprise—using the concept of real options to articulate a new theory of the patent system.

14. Use of Real Options Theory to Value Software Trade Secrets Donald J. Reifer University of Southern California Abstract: In this position paper, we discuss use of real options theory to value software trade secrets. We start by outlining current valuation practices and problems. We next outline a valuation framework that permits software experts to value trade secrets when involved in litigations. The framework takes advantage of real options theory to derive a fair value for use in valuing a trade secret using either the currently accepted cost, income or market approach. We conclude by focusing on the barriers that software experts will have to overcome when presenting their findings within a courtroom environment to non-software participants (judges, attorneys, juries, etc.). http://www.soberit.hut.fi/edser-5/Papers/E13_RealOptions-mod.pdf

15. A reálopció-elmélet alkalmazása a villamosenergia-szektorban Csapi Vivien Pénzügyi szemle, 2013. (58. évf.) 4. sz. 481-494. old. Összefoglaló: A standard értékelési eljárások legújabb és egyben azok legtöbb hiányosságának kiküszöbölésére alkalmas bővítményea reálopció-elmélet. A pénzügyi opciókhoz hasonlóan a reálopciók birtoklásával – jogok és nem kötelezettségek – olyan működési/termelési fedezeti mechanizmusok tulajdonosaivá válunk, amelyek a rugalmasságot, a környezetre való aktív reagálás képességét viszik be a menedzseri eszköztárba azzal, hogy a pénzügyi termékeknél jelen lévő lehetőségeket fizikai eszközökre értelmezik. Jelen tanulmány célja a reálopciók beruházáselméleti térnyerésének, a reálopciók típusainak, azok rendelkezésre álló értékelési eljárásainak elemzése, valamint a reálopciós elemzés illusztrálása volt a villamosenergia-szektor egyedi szintű beruházásainak értékelése során. A 10 villamosenergia-termelési technológia esetében végrehajtott binomiális árazás részletes ismertetésével nem elsősorban a reálopciók által azonosított stratégiai értéknek megragadása, sokkal inkább magának az árazás lépéseinek ismertetése volt a célom. Az eredmények alapján a reálopció-elmélet felülmúlja a hagyományos beruházásértékelési eljárásokat mind a bizonytalanság, mind a rugalmasság kezelése terén.*

16. A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével Nagy Tamás Közgazdasági szemle, 2013. (60. évf.) 3. sz. 318-341. old.


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A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a széndioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein– Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. Journal of Economic Literature (JEL) kód: G13, C15, L94, Q54.

17. A geometriai Brown-mozgás feltevésének elfogadhatósága a reálopciók értékelésében Balázs Árpád Hitelintézeti szemle, 2012. (11. évf.) Klnsz. 44-49. old. A reálopciók a döntési rugalmasság megtestesítőiként jelen vannak a vállalatvezetők mindennapjaiban, és cégtől függően jelentős értéket képviselhetnek. Értékelésük a hagyományos diszkontált pénzáramlás módszerekkel csak korlátozottan lehetséges, ezért alternatívaként felmerül a pénzügyi opcióárazás módszertana, amelynek hagyományos változatai az alaptermék alakulásáról geometriai Brown-mozgást feltételeznek. A cikk ezt a feltevést veszi górcső alá a reálopciókra történő alkalmazás szempontjából, és megmutatja, hogy habár önkényesnek tűnhet, valójában nem pusztán egy matematikai szempontból kényelmes megoldás, hanem pénzügyileg is elfogadható feltétel.

18. Valószínűség, esély, relatív súlyok: Opciók és reálopciók Száz János Hitelintézeti szemle, 2011. (10. évf.) 4. sz. 336-348. old. Bélyácz Iván figyelemfelkeltő „Kockázat, bizonytalanság, valószínűség” című cikke – amely egyben részletes irodalmi áttekintés is – olyan fogalmi tisztázatlanságokra hívja fel a fi gyelmet, amelyek mellett évek, évtizedek óta szó nélkül megyünk el, amikor a kockázatkezelés technikai részleteit tanítjuk.

19. A marketing–pénzügy interfész, avagy reálopciók a marketingben, Csapi Vivien (2011) Marketing&Menedzsment XLV. évf. 3. szám, 37-44. oldal


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20. Bizonytalanság és kockázat a termelési hálózatokban – egy reálopciós megközelítés, Csapi Vivien (2011) Vezetéstudomány, 42. kötet. 2011. július-augusztus, 28. – 37. oldal

1.

A Real Option based Six Sigma project evaluation and selection model.

Source: International Journal of Project Management. Dec2011, Vol. 29 Issue 8, p1091-1102. 12p. Abstract: Identification and selection of Six Sigma projects are one of the most frequently discussed issues in the Six Sigma literatures today. In this paper a two-stage methodology has been proposed based on (i) Real Option Analysis for evaluating the value of the project to improve the managerial flexibility (ii) a zero–one integer linear programming model for selecting and scheduling an optimal project portfolio, based on the organization''s objectives and constraints. The methodology is illustrated through a case study from petrochemical industry carried out during 2007. The study contributes to managerial practices by identifying a new way of valuing the Six Sigma projects through Real Option Analysis by considering various kinds of risks. Resource-constrained environment has been chosen to test the proposed approach of selection of project portfolio and the model is validated with a detailed discussion.

2. A simulation based real options approach for the investment evaluation of nuclear power. Source: Computers & Industrial Engineering. Nov2012, Vol. 63 Issue 3, p585-593. 9p. Abstract: The investment of nuclear power has several uncertainties. This paper establishes a nuclear power investment evaluation model by employing real options theory with Monte Carlo method to evaluate the value of nuclear power plant from the perspective of power generation enterprises. Several technical and economic uncertainty factors (investment cost, generating cost, electricity prices and nuclear accident) have been taken into account in the model and the model is solved by Least Squares Monte-Carlo (LSM) method. As an application, the model is used to evaluate Sanmen nuclear power plant in Zhejiang province, China. The impacts of three electricity price mechanisms and nuclear power investment cost reduction are investigated and discussed.

3. A real option theoretic fuzzy evaluation model for enterprise resource planning investment.


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Source: Journal of Engineering & Technology Management. Jan2012, Vol. 29 Issue 1, p47-61. 15p. Abstract: The high failure rate of ERP implementation is due to a common pitfall that ERP projects are often enacted as merely investment into installation of IT infrastructure, rather than systematic planning of operation changes, business process re-engineering and a paradigm shift for the operation and management. To manage ERP investment in a changing environment for high payoff, this paper adopts a real option theoretic method. Fuzzy payoff valuation is introduced to deal with uncertainties in order to minimize the risk of failure. The proposed ERP evaluation model is geared towards small and medium enterprises. A case study is presented to validate the proposed fuzzy real options. The results indicate the potential of modeling ERP investment as “Expand”, “Contain” and “Abandon” options in different scenarios. The fuzzy real option model bestows a novel ex-ante cost analysis for justifying ERP investment in the implementation cycle.

4. A Basic Study of Optimal Investment of Power Sources Considering Environmental Measures: Economic Evaluation of CCS Through a Real Options Approach Source: Electrical Engineering in Japan Date: February 1, 2011 SUMMARY This paper proposes a novel method based on real options theory for economic evaluation of the replacement of an old coal-fired thermal power plant (COAL) with a coal-fired thermal power plant that includes a CCS (carbon dioxide capture and storage) unit. We calculate the real option value (ROV) of CCS as the value of an American call option with dividend, treating the increased carbon cost of COAL due to the delay of replacement as opportunity cost. The appropriate construction time of a CCS unit is evaluated by binominal decision tree analysis for option exercise. We calculate the change of project ROV and the appropriate construction time according to the difference in carbon emission benchmarks and the variation of the maintenance cost of COAL. The effect of power station lifetime is also analyzed. We conclude that flexibility in the timing of decision making increases the value of a project. We also found that CCS is an economically justifiable technology option under forthcoming restrictions on carbon emissions. © 2010 Wiley Periodicals, Inc. Electr Eng Jpn, 174(3): 9–17, 2011; Published online in Wiley Online Library (wileyonlinelibrary.com). DOI 10.1002/eej.21065 5. A geometriai értékelésében

Brown-mozgás

feltevésének

elfogadhatósága

a

reálopciók

IRODALOMJEGYZÉK


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BAXTER, M.–RENNIE, A. [2002]: Pénzügyi kalkulus – Bevezetés a származtatott termékek árazásába. Typotex kiadó, Budapest. DAMODARAN, A. [2006]: A befektetések értékelése – Módszerek és eljárások. Panem Könyvkiadó Kft., Budapest. DIXIT, A. K.–PINDYCK, R. S. [1994]: Investment under Uncertainty. Princeton University Press, New Jersey. HULL, J. C. [1999]: Opciók, határidős ügyletek és egyéb származtatott termékek. Panem Könyvkiadó Kft.– Prentice Hall Inc., Budapest. KOLLER, T.–GOEDHART, M.–WESSELS, D. [2005]: Valuation – Measuring and Managing the Value of Companies, Fourth Edition. John Wiley & Sons Inc., New Jersey. MEDVEGYEV P. [2007]: Zűrzavaros bevezetés a sztochasztikus analízisbe közgazdászok számára. Előadásjegyzet, Budapesti Corvinus Egyetem. MUN, J. [2002]: Real Options Analysis – Tools and Techniques for Valuing Strategic Investments and Decisions. John Wiley & Sons Inc., New Jersey. SZÁZ J. [2003]: Kötvények és opciók árazása – Az opciók szerepe a modern pénzügyekben. Carbocomp Kft., Pécs. A reálopciók a döntési rugalmasság megtestesítőiként jelen vannak a vállalatvezetők mindennapjaiban, és cégtől függően jelentős értéket képviselhetnek. Értékelésük a hagyományos diszkontált pénzáramlás módszerekkel csak korlátozottan lehetséges, ezért alternatívaként felmerül a pénzügyi opcióárazás módszertana, amelynek hagyományos változatai az alaptermék alakulásáról geometriai Brown-mozgást feltételeznek. A cikk ezt a feltevést veszi górcső alá a reálopciókra történő alkalmazás szempontjából, és megmutatja, hogy habár önkényesnek tűnhet, valójában nem pusztán egy matematikai szempontból kényelmes megoldás, hanem pénzügyileg is elfogadható feltétel. 6. Using real options to determine optimal funding strategies for CO2 capture, transport and storage projects in the European Union. Source: Energy Policy. Mar2014, Vol. 66, p115-134. 20p.


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Abstract: Several projects in the European Union (EU) are currently under development to implement the carbon capture, transport and storage (CCS) technology on a large scale and may be subject to public funding under EU support initiatives. These CCS projects may develop any combination of three types of operating levels: pilot, demonstration and fullscale, representing progressing levels of electric power generation capability. Several projects have commenced at the demonstration level, with full-scale commercial levels planned for approximately 2020. Taking the perspective of a funding agency, we employ a real options framework for determining an optimal project selection and funding strategy for the development of full-scale CCS plants. Specifically, we formulate and solve a stochastic dynamic program (SDP) for obtaining optimal funding solutions in order to achieve at least one successfully operating full-scale CCS plant by a target year. The model demonstrates the improved risk reduction by employing such a multi-stage competition. We then extend the model to consider two sensitivities: (1) the flexibility to spend that budget among the time periods and (2) optimizing the budget, but specifying each time period's allocation a priori. State size and runtimes of the SDP model are provided.

7. A real options approach to implementing corporate social responsibility policies at different stages of the mining process. Source: Corporate Governance: The International Journal of Effective Board Performance. 2014, Vol. 14 Issue 1, p45-57. 13p. Abstract: Purpose -- The purpose of this paper is to introduce the concept of "optionality" of corporate social responsibility programs in the mining sector. It is postulated that the degree of commitment and implementation varies with the different stages of the mine life cycle. Design/methodology/approach -- The methodology/approach applied in this paper follows that of complex systems theory. The authors recognize that elements of CSR do not function/occur in isolation but rather operate in a complex and dynamic system. Findings -The findings presented in the paper indicate that there is a not a single "silver bullet" approach to CSR but rather one that ebbs and flows with not only the technical stage of development of a mine but also those extra- economic modifiers that influence a mine's performance and survivability in a competitive global market. Research limitations/implications -- The limitations of this particular paper/research is the inability to get a complete set of cost data from any single mining operation. This is due to the highly confidential and proprietary nature of this data, hence a hypothetical/theoretical case is presented. Practical implications -- The practical implications of this research include recognizing the different stages of the mine life cycle cause different applications of CSR policy development and implementation. The authors present a view of a flexible and reflective CSR application. Originality/value -- This is the first and novel attempt to consider the actual value and commercial implication of CSR using the methods of real options within the broader theoretical framework of complex systems.


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8. Forest Valuation under the New Zealand Emissions Trading Scheme: A Real Options Binomial Tree with Stochastic Carbon and Timber Prices. Source: Land Economics. Feb2014, Vol. 90 Issue 1, p44-60. 17p. Abstract: Under the New Zealand Emissions Trading Scheme, forests planted on or after January 1, 1990, earn carbon credits. These credits have to be repaid when the forest is harvested. This paper analyses the effects of this scheme on the value of bareland on which radiata pine is to be planted. A real options method is developed and applied, assuming stochastic carbon and timber prices. We find that land value increases by about 73%, with the optimal rotation age substantially lengthened. The derived optimal harvest price thresholds are useful in deciding whether to harvest or to wait. [ABSTRACT FROM AUTHOR]

9. Adaptive Flood Risk Management Under Climate Change Uncertainty Using Real Options and Optimization. Source: Risk Analysis: An International Journal. Jan2014, Vol. 34 Issue 1, p75-92. 18p. Abstract: It is well recognized that adaptive and flexible flood risk strategies are required to account for future uncertainties. Development of such strategies is, however, a challenge. Climate change alone is a significant complication, but, in addition, complexities exist trying to identify the most appropriate set of mitigation measures, or interventions. There are a range of economic and environmental performance measures that require consideration, and the spatial and temporal aspects of evaluating the performance of these is complex. All these elements pose severe difficulties to decisionmakers. This article describes a decision support methodology that has the capability to assess the most appropriate set of interventions to make in a flood system and the opportune time to make these interventions, given the future uncertainties. The flood risk strategies have been explicitly designed to allow for flexible adaptive measures by capturing the concepts of real options and multiobjective optimization to evaluate potential flood risk management opportunities. A state-of-the-art flood risk analysis tool is employed to evaluate the risk associated to each strategy over future points in time and a multiobjective genetic algorithm is utilized to search for the optimal adaptive strategies. The modeling system has been applied to a reach on the Thames Estuary (London, England), and initial results show the inclusion of flexibility is advantageous, while the outputs provide decisionmakers with supplementary knowledge that previously has not been considered.

10. The impact of price floors on farmland investments: a real options based experimental analysis.


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Source: Applied Economics. Dec2013, Vol. 45 Issue 35, p4872-4882. 11p. 2 Diagrams, 2 Charts, 2 Graphs. Abstract: Price floors are a common instrument for market intervention to stimulate investments. In some cases, it can be observed that a price floor does not have the stimulating effect. We experimentally analyse the investment behaviour of students who take the role of farmers. The experiment considers an investment problem under uncertainty in a ‘with price floor’ and a ‘no price floor’ treatment, stylizing a decision to take an ongoing farmland investment option. We compare the actual investment behaviour with normative benchmarks of the net present value and the real options approach. Furthermore, we look at order and learning effects. The results show that the price floor has no significant impact on the willingness to invest, whereas the effects of order were statistically significant. The investment reluctance arising from an abolishment is stronger than the investment stimulation arising from the introduction of a price floor. Furthermore, neither the net present value nor the real options approach is appropriate to predict the investment behaviour in general. Nevertheless, the predictions of the real options approach enable an approximation of the participants’ investment behaviour if the individuals have an adequate chance to learn from personal experience.

11.

A real options approach to labour shifts planning under different service level targets.

Source: European Journal of Operational Research. Nov2013, Vol. 231 Issue 1, p182-189. 8p. Abstract: Highlights: [•] Workforce planning, under conditions of market uncertainty, is reviewed. [•] Decisions regarding workforce shifts, targeting different service levels, are discussed. [•] A real options model, tailored to the contextual need, is proposed. [•] The optimal timing is considered as an important input for workforce shifts expansion. [•] The preparation period for workforce training/adaptation is modelled.

12.

THE REAL OPTIONS APPROACH TO VALUATION: CHALLENGES AND OPPORTUNITIES.

Source: Latin American Journal of Economics. Nov2013, Vol. 50 Issue 2, p163-177. 15p. Abstract: This paper provides an overview of the real options approach to valuation mainly from the point of view of the author who has worked in this area for over 30 years. After a general introduction to the subject, numerical procedures to value real options are discussed. Recent developments in the valuation of complex American options has allowed progress in the solution of many interesting real option problems. Two applications of the real options approach are discussed in more detail: the valuation of natural resource investments and the valuation of research and development investments.


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13.

Real option value over a housing market cycle.

Source: Regional Science & Urban Economics. Nov2013, Vol. 43 Issue 6, p862-874. 13p. Abstract: Abstract: This paper analyzes how the dynamics of house prices are affected by the option to rebuild or enlarge existing dwellings. The nonlinear functional form for option value and zoning limits provides identification of changes in option value over the cycle. For homes with high development potential, our results show that about 40% of the price increases during the boom years after the fall of the Berlin Wall were related to increased option value. In the subsequent bust about 50% of their price decline was associated with decreased option value. For dwellings with low redevelopment potential 12% of the decline in real value can be attributed to changing option value.

14.

The Real Option Value of Cash*.

Source: Review of Finance. Nov2013, Vol. 17 Issue 5, p1649-1697. 49p. Abstract: This article focuses on the idea that cash has a real option value and it presents an explicit valuation framework of cash holdings in the context of a capacity expansion option. The model characterizes the optimal dynamic cash retention policy, the value of internal funds, and it provides a model implied regression specification based on simulated data. Results imply that high cash flow volatility decreases the value of cash and that optimal cash retention can actually delay investment relative to the case of full outside financing. Both novel implications are confirmed by subsequent empirical tests.

15.

PLUM PLANTATION VALUE BASED ON REAL OPTION CONTRIBUTION

References 1. Brealey, R. A., Myers, S.C., Allen, F. (2006): Corporate Finance, McGraw-Hill/ Irwine, 8thedition. 2. Čmelik, Z., Tupajić, P., Juračak, J. (2003.): Analiza opravdanosti ulaganja u proizvodnju šljive i domaće slavonske šljivovice. Investment elaborate, Agrarno savjetovanje. 3. Cox, J., Ross, S.R., Rubinstein, M. (1979): Option pricing: A simplified approach. Journal of Financial Economics, Vol. 7, pp 229–263. available at: http://www.in-themoney.com/artandpap/Option%20Pricing%20-%20A%20Simplified%20Approach.doc 4. Dixit, A, Pyndick, R.S. (1995): The Options Approach to Capital Investment. Harvard Business Review, May/June, pp. 105-115.


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5. Merton, R. C. (1973): Theory of Rational Option Pricing. The Bell Journal of Economics and Management Science, 4(1):141-183. 6. Odening, M., Mußhoff, O., Balmann, A. (2005): Investment decisions in hog finishing: an application of the real options approach. Agricultural Economics 32 (1):47–60. 7. Rovčanin, A. (2004): Investment as real options. Zbornik radova, Faculty of Economy, Rijeka, vol 2, pp. 85-93. SUMMARY 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.

16. Viability of building rehabilitation with real option approaches: an empirical study in Hong Kong References Chau, K.W., Yiu, C.Y. and Wong, S.K. (2004), “The cost and benefit of refurbishment with special reference to multi-ownership apartment buildings”, in Leung, A.Y.T. and Yiu, C.Y. (Eds), Building Dilapidation and Rejuvenation in Hong Kong, Hong Kong Institute of Surveyors and City University of Hong Kong, Hong Kong. Cunningham, C.R. (2006), “House price uncertainty, timing of development, and vacant land prices: evidence for real option in Seattle”, Journal of Urban Economics, Vol. 59 No. 1, pp. 131. Ho, D.K.H. (2005), “A public housing main upgrading programme (MUP) policy under the real option pricing framework”, working paper, National University of Singapore, Singapore. Ho, D.K.H., Hui, E.C.M. and Ibrahim, M.F.B. (2009), “Asset value enhancement of Singapore’s public housing Main Upgrading Programme (MUP) policy: a real option analysis approach”, Urban Studies, Vol. 46 No. 11, pp. 1-33.


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Hui, E.C.M. (2006), “An enhanced implied tree model for option pricing: a study on Hong Kong property stock options”, International Review of Economics and Finance, Vol. 15, pp. 324-45. Hui, E.C.M. and Fung, H.H.K. (2009), “Real estate development as real options”, Journal of Construction Management and Economics, Vol. 27 No. 3, pp. 219-28. Hui, E.C.M., Wong, J.T.Y. and Wan, J.K.M. (2006), “Benefit of building rehabilitation value of enhancement effect”, working paper, The Hong Kong Polytechnic University, Hong Kong. Hui, E.C.M., Wong, J.T.Y. and Wan, J.K.M. (2008), “The evidence of value enhancement resulting from rehabilitation”, Facilities, Vol. 26 Nos 1/2, pp. 16-32. McDonald, R. and Siegel, D. (1986), “The value of waiting to invest”, Quarterly Journal of Economics, Vol. 101 No. 4, pp. 707-28. McKean, H.P. (1965), “Appendix: A free boundary problem for the heat equation arising from a problem in mathematical economics”, Industrial Management Review, Vol. 6 No. 2, pp. 32-9. Merton, R.C. (1998), “Applications of option-pricing theory: 25 years later”, The American Economic Review, Vol. 88 No. 3, pp. 323-49. Nieboer, N. (2005), “The disputable role of the built environment in liveability”, paper presented at the ENHR Conference Housing: New Challenges and Innovations in Tomorrow’s Cities, Reykjavik. Pugh, C. (1991), “The costs and benefits of rehabilitation and refurbishment”, Property Management, Vol. 9 No. 2, pp. 143-56. Quigg, L. (1993), “Empirical testing of real option-pricing models”, The Journal of Finance, Vol. 48 No. 2, pp. 621-40. Ratcliffe, J. (1993), New Building from Old – A Review of Commercial Property Refurbishment, Division of Construction and Land Use, The Hong Kong Polytechnic University, Hong Kong. Remoy, H.T. and van der Voordt, T.J.M. (2007), “A new life: conversion of vacant office buildings into housing”, Facilities, Vol. 25 Nos 3/4, pp. 88-103. Rosenfeld, Y. and Shohet, I.M. (1999), “Decision support model for semi-automated selection of renovation projects”, Journal of Automation in Construction, Vol. 8 No. 4, pp. 503-10. Shomer, R. (1999), “Downtown housing as an urban redevelopment tool: hype or hope?”, Housing Policy Debate, Vol. 10 No. 2, pp. 477-505.


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Titman, S. (1985), “Urban land prices under uncertainty”, American Economic Review, Vol. 75 No. 3, pp. 505-14. Urban Renewal Authority, The Government of HKSAT, (URA, HKSAT) (n.d.), “Building Rehabilitation Loan Scheme and Building Rehabilitation Material Incentive Scheme”, available at: www.ura.org.hk/html/c100000e1e.html Walker, A. (2002), Project Management in Construction, 4th ed., Blackwell Publishing, Oxford. Abstract Purpose – The purpose of this paper is to evaluate the viability of rehabilitation from a financial standpoint and examine particularly whether a rehabilitation project is worth carrying out or not. Nowadays, rehabilitation has become all the more important in society. Theoretical option models may explain how to make an optimal decision, but in reality they seem to lack empirical evidence when it comes to some situation. This paper aims to use option models to gauge the likely gain/loss from rehabilitation in face of uncertainties. It seeks to bridge the gap in the rehabilitation field between theory and application for facilities managers and property owners alike. Design/methodology/approach – The binomial option model and Samuelson-McKean closed form model are utilised to evaluate the likely financial benefits of the two major rehabilitation schemes, exploring option premiums and hurdle values. The real option approaches provide a useful framework within which to gauge a likely gain (loss) and ascertain the viability of rehabilitation in the midst of uncertainties. Findings – The real option approaches produce two outcomes values, the option premium and the hurdle value, which are able to provide insight into the likelihood of rehabilitation for facilities managers/property owners in the intricate and dynamic markets. The higher the option premium, the more attractive a rehabilitation project will be. And the hurdle value usefully reveals a critical timing for exercising rehabilitation. Research limitations/implications – This paper provides a necessary support for sustaining the rehabilitation schemes. It presents an adequate alternative to examine the value of rehabilitation by taking into account uncertainties in real life. It is useful for facilities managers and property owners, who sometimes neglect potential benefit/loss in the uncertainties when making an investment decision. Practical implications – This paper has established the framework for evaluating the


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rehabilitation schemes that has practical implications for decision making. The facilities manager, property owner and government should make some adjustments in formulation of their rehabilitation policies and strategies. Originality/value – This paper provides facilities managers with a means in which the real option approaches are embedded to express benefit/costs of rehabilitation. With the aid of this information, facilities managers/property owners are able to evaluate rehabilitation more effectively and enhance the decision-making quality. Keywords Real option, Option premium, Hurdle value, Rehabilitation, Buildings, Hong Kong Paper type Research paper

17.

Evaluation of new and renewable energy technologies in Korea using real options.

Source: International Journal of Energy Research. Oct2013, Vol. 37 Issue 13, p1645-1656. 12p. Abstract: SUMMARY For several years recently, the price of oil has fluctuated due to the weak US dollar and financial risks. In particular, the WTI crude oil price reached $147 per barrel in July of 2008, which is the highest price thus far. An awareness of an impending crisis and concern over climate change are driving an increase in R&D for alternative energy sources instead of fossil-based energy. However, the researches based on traditional method show negative options about the economic value of new and renewable energy. This paper evaluates the value of new and renewable energy through a real option method which considers the uncertainty associated with fossil energy and the uncertainty of the success of R&D. The evaluating model assumes that the fossil energy price follows a geometric mean reverting process and that the probability of success with R&D on renewal forms of energy follows a binomial probability model. The model considers four options: the option to continue R&D, the option to delay R&D, the option to deploy R&D, and the option to abandon R&D. Finally, the value of Korean R&D on renewal forms of energy is analyzed by the model.

18. Real option games with R&D and learning spillovers Omega, Apr 2013, Volume: 41 Issue: 2 pp.236-249 (14 pages) We demonstrate to decision makers how to optimally make costly strategic pre-investment R&D decisions in the presence of spillover effects in an option pricing framework with analytic tractability. Decisions are modeled as impulse-type controls with random outcome. Two firms face two decisions that are solved interdependently in a two-stage game. The first-stage decision is: What is the optimal level of coordination (optimal policy/technology choice)? The second-stage decision is: What is the optimal effort for a given level of the


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spillover effects and the cost of information acquisition? The framework is extended to a two-period closed-loop stochastic game with (path-dependency inducing) switching costs that make strategy revisions harder. When conditions of learning-by-doing exist, we find that strategy shifts are easier to observe in market environments of high growth and high volatility.

19. Real option as strategic technology uncertainty reduction mechanism: inter-firm investment strategy by pharmaceuticals Technology Analysis & Strategic Management, May 2011, Volume: 23 Issue: 5 pp.489-507 (19 pages) Whether pharmaceutical firms use the real option (RO) mechanism for strategic technology uncertainty reduction and whether the role of RO decreases when industrial technology progresses from research and development (R&D) to commercial activities in a product life cycle is discussed. The evidence confirms that pharmaceutical firms enter different in the external technology sourcing. Moreover, RO-based entry coefficients differ in sizes at different levels in the industrial value chain. The R&D entry stage is relatively greater than the clinical trials entry stage. However, contrary to the proposition that the commercial entry coefficient will be relatively lower; the results indicate that the commercial RO-entry stage appears to be relatively greater than both the R&D entry stage and the clinical trials entry stage. The overall RO-based entry in external technology sourcing appears to be a Ushaped curve along the product life cycle. The article highlights some theoretical and practical implications of these findings.

20. Binomial real option pricing for restaurant menu analysis Cornell Hospitality Quarterly, Aug 2011, Volume: 52 Issue: 3 pp.273-282 (10 pages) Numerous researchers have proposed methods to improve the profitability of restaurant menus. The profit-analysis techniques that have been proposed generally assess menu items according to popularity as against comparative contribution margin or a similar scheme that theoretically allows managers to apply a portfolio adjustment approach or simply to replace items that are low in profitability. However, none of the analytical models discussed in the literature consider the element of time, which is an essential consideration in planning for menu item replacement. This study uses a real option pricing model to construct time-axis profiles of menu items and to analyze their potential profitability given varying time constraints. The analysis applies a binomial real option pricing model, as applied to actual data, and a real option pricing model was used to compare the advantages and benefits of different menu items. A comparison of the binomial model's results with those of other menu analysis models found that the time-based model was more effective in determining how to construct a menu portfolio.


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21. Airfare price insurance: a real option model Journal of Risk Finance, 2011, Volume: 12 Issue: 1 pp.5-14 (10 pages) Purpose - The purpose of this paper is to examine the uncertainty of acquiring the lowest possible airfare when contemplating the purchase of a ticket. A real option model is applied to value insurance contracts that could be offered to passengers to cope with price risk. Furthermore, the premiums charged for such airfare price insurance contracts can augment airline carrier revenues. Design/methodology/approach - Prices on 14 airfares were collected for 79 consecutive days on an assortment of US domestic and international flights from four airline carriers. Volatility in airfares was shown using the price range and SD. The Black-Scholes-Merton model was employed to value the call and put options representing different airfare price insurance contracts. Findings - Airfare price insurance contracts affordability was demonstrated ranging from 1.55 to 11.28 percent of the average dollar ticket price. Research limitations/implications - The valuations in the paper were based on ex post data that would not be available to the customer purchaser. Nonetheless, the airline carriers that sell the insurance would have better estimates of the price volatility and therefore could price the contracts to make a profit. Practical implications - Airline passengers would have an opportunity to reduce the ticket price risk they face when buying their tickets. Airline carrier could increase revenues by offering such products. Social implications - The opportunity to manage price risk contributes to the completeness of markets. Originality/value - The paper shows that airfare price insurance contracts are a viable tool in the management of price risk.

22. Real options with synergies: static versus dynamic policies Nishihara MJournal:Journal of the Operational Research Society, Jan 2012, Volume: 63 Issue: 1 pp.107122 (16 pages) We develop a model for determining whether a firm should exercise two real options individually or simultaneously. The simultaneous exercise of both options has synergy of cost savings, while the separate exercise of each option benefits from project flexibility. This trade-off determines the optimal exercise policy. We compare static and dynamic management of multiple real options. A firm under static management determines the type of exercise of real options ex ante; on the other hand, a firm under dynamic management


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makes the decision at the time of exercise. We show that highly correlated projects increase the option values under both styles of management because a firm is more likely to enjoy the synergy gains of joint investment. We also highlight the advantage of dynamic management over static management for weakly correlated projects.

23. Real options in the motion picture industry: evidence from film marketing and sequels Author(s):Gong J J, van der Stede W A, Young S MJournal:Contemporary Accounting Research, Winter 2011, Volume: 28 Issue: 5 pp.1438-1466 (29 pages) We examine the application of real options within two contexts of motion picture investment decisions by studio executives. The first is whether to continue marketing a film following its initial release in theaters (an abandonment option). The second centers on the decision to produce a sequel to an original film (a growth option). Few accounting studies have examined the use of real options but they are of considerable importance to companies managing risk through their cost structure and capital investment decisions. Specifically, a real option allows decision makers to postpone further expenditure commitment until a substantial portion of the uncertainty surrounding the investment has been resolved. Our evidence from the motion picture industry indicates that studios leave a portion of their marketing budget uncommitted until its spending is warranted. We also show that studios invest more in original films that they believe will lead to a sequel. Specifically, we find that studios spend higher production and marketing costs on films with sequels than those without and that sequels generate higher returns on investment than nonsequels. Overall, our results suggest that the real options framework has applications for accounting research and practice by providing a basis for studying and understanding cost commitments in product or project-based settings.

24. Using real options to investigate the market value of virtual world businesses Author(s):Yang S-B, Lim J-H, Oh W, Animesh A, Pinsonneault AJournal:Information Systems Research, Sep 2012, Volume: 23 Issue: 3 Virtual worlds are relatively nascent IT platforms with the potential to radically transform business processes and generate significant payoffs. However, in striving to achieve specific outcomes, firms may incur significant risks. Although many companies claim to have attained substantial benefits from their virtual world initiatives, many others have recently scaled down or even abandoned their experimental virtual world projects. This paper assesses the value proposition of virtual world initiatives from the real options perspective. Specifically, we argue that virtual worlds act as a firm's growth option, and we adopt the lens of real options to evaluate the value of this emerging and uncertain technological platform. We employ the event study method to assess the stock market's perception of the future revenue streams of 261 virtual world initiatives announced between 2006 and 2008. Our RealOption 2014-02-26

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results indicate that, overall, the market reacts positively to virtual world initiatives. Our findings also show that investors' reactions to virtual world initiatives are contingent on four key characteristics of virtual world initiatives: interpretive flexibility (i.e., technologies that allow managers to experiment), divisibility (i.e., ability to incrementally implement the technology), strategic importance (i.e., an initiative that affects a process of strategic importance to the firm), and exploitable absorptive capacity (i.e., ability to exploit the knowledge acquired through the initiative). We discuss the key implications for real-world practitioners and suggest directions for future research.

25. Valuing risky projects with real options Author(s):Mathews SJournal:Research Technology Management, Sep-Oct 2009, Volume: 52 Issue: 5 pp.32-41 (10 pages) Purpose - To introduce a new real options approach, developed at Boeing research and development division, Seattle, for accurately capturing the trade-off between financial return and risk in risky projects. Design/methodology/approach - The development and application of a new risk/return tool, based on net present value (NPV) and including spreadsheet add-in software, is described through its application to a business case for an air freighter project at Boeing. Reports the results of extending the NPV scheme, using Monte Carlo simulation, to produce the new Datar-Mathews real-option value algorithm (Datar-Mathews Method) and calculate a realoption value for the air freighter. Findings - The results indicated that the Datar-Mathews Method offers a combination of intuitiveness and transparency to provide an investment and risk-modelling tool for incorporating into strategic thinking and contingency planning. Originality/value - Contributes to the literature of technological innovation by focusing on the problem of balancing risk and financial return and offering a solution.

Szerzők: Csapi Vivien - Ratting Anita A reálopciós megközelítés alkalmazása az építészetben Marketing & Management, 2013. (47. évf.) Klnsz. 56-68. old. Szerzők: Csapi Vivien A reálopció-elmélet alkalmazása a villamosenergia-szektorban Pénzügyi szemle, 2013. (58. évf.) 4. sz. 481-494. old. Teljes szöveg: www.asz.hu/ASZ/www.nsf/penzugyi_szemle_archivum.html- 2005 évtől A standard értékelési eljárások legújabb és egyben azok legtöbb hiányosságának kiküszöbölésére alkalmas bővítménye a reálopció-elmélet. A pénzügyi opciókhoz hasonlóan a reálopciók birtoklásával – jogok és nem kötelezettségek – olyan működési/termelési fedezeti mechanizmusok tulajdonosaivá válunk, amelyek a rugalmasságot, a környezetre


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való aktív reagálás képességétviszik be a menedzseri eszköztárba azzal, hogy a pénzügyi termékeknél jelen lévő lehetőségeket fizikai eszközökre értelmezik. Jelen tanulmány célja a reálopciók beruházáselméleti térnyerésének, a reálopciók típusainak, azok rendelkezésre álló értékelési eljárásainak elemzése, valamint a reálopciós elemzés illusztrálása volt a villamosenergia-szektor egyedi szintű beruházásainak értékelése során. A 10 villamosenergia-termelési technológia esetében végrehajtott binomiális árazás részletes ismertetésével nem elsősorban a reál opciók által azonosított stratégiai értéknek megragadása, sokkal inkább magának az árazás lépéseinek ismertetése volt a célom. Az eredmények alapján a reálopció-elmélet felülmúlja a hagyományos beruházásértékelési eljárásokat mind a bizonytalanság, mind a rugalmasság kezelése terén. Szerzők: Nagy Tamás A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével Közgazdasági szemle, 2013. (60. évf.) 3. sz. 318-341. old. A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein– Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. Szerzők: Csapi Vivien A marketing - pénzügy interfész, avagy reálopciók a marketingben Marketing & Management, 2011. (45. évf.) 4. sz. 37-44. old. Szerzők: Csapi Vivien Bizonytalanság és kockázat a termelési hálózatokban - egy reálopciós megközelítés Vezetéstudomány, 2011. (42. évf.) 7-8. sz. 28-37. old. Szerzők: T. Kiss Judit Az oktatás opciós értéke Competitio, 2010. (9. évf.) 1. sz. 131. old. Teljes szöveg: www.econ.unideb.hu/tudomany/tovabbi-folyoiratok A standard emberi tőke elméleti keretein belül számtalan elemzést készítettek az oktatással kapcsolatos beruházási döntésekről, amelyekben legtöbbször elmaradt az oktatás költségeivel, és annak jövőbeli hasznaival kapcsolatos bizonytalanság beillesztése a vizsgálatokba, és gyakran elmaradt az opciós lehetőségek értékelése is. Jelen írásban igyekeztünk áttekinteni a standard emberi tőke elméletének egyik kiterjesztési lehetőségét,


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az emberitőke-beruházás opciós megközelítését. Arra kerestük a választ, hogy milyen megoldások, modellek születtek az oktatás révén megvalósítható emberitőke-beruházások opcióként történő értelmezésére, és a beruházás opciós értékének a meghatározására. A tanulmányban rávilágítunk arra, hogy az emberitőke-beruházásokkal kapcsolatos bizonytalanságok csökkentése legalább olyan mértékben ösztönzőleg hat az egyének emberitőke-felhalmozására, mint az oktatás állami támogatása. Szerzők: Rózsa Andrea Menedzsmentkommunikáció reálopciókkal. A stratégiai és pénzügyi szempontok összhangba hozatalának lehetőségei Vezetéstudomány, 2010. (41. évf.) 9. sz. 45-58. old Are biofuels a feasible option? José Goldemberg, Patricia Guardabassi Energy Policy Volume 37, Issue 1, January 2009, Pages 10–14 Recently a number of objections have been raised against the use of ethanol produced from agricultural products such as maize, sugarcane, wheat or sugar beets as a replacement for gasoline, despite some of their advantages such as being cleaner and to some extent renewable. We address these objections in this paper. Topics discussed include the “corn connection” (which was theorized to be a cause of deforestation in the Amazonia), the rise of food prices due to ethanol production and the real possibilities of ethanol in reducing greenhouse gas emissions. It has been shown that such concerns are grossly exaggerated and that ethanol from sugarcane, as produced in Brazil, is the preferred option for the production of fuel not only in terms of cost but also as a favourable energy balance. Finally, the possibility of expanding ethanol production to other sugar-producing countries is also discussed. The information content of option-implied volatility for credit default swap valuation Charles Cao, Fan Yu, Zhaodong Zhong Journal of Financial Markets Volume 13, Issue 3, August 2010, Pages 321–343 Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both CDS and options data, we find that individual firms’ put option-implied volatility dominates historical volatility in explaining the time-series variation in CDS spreads. To understand this result, we show that implied volatility is a more efficient forecast for future realized volatility than historical volatility. More importantly, the volatility risk premium embedded in option prices covaries with the CDS spread. These findings complement existing empirical evidence based on market-level data. Environmental change and the option value of genetic diversity, Trends in plant science, Volume 14, Issue 1, January 2009, Pages 51–58 Alistair S. Jump Rob Marchant1, Josep Peñuelas2


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Rapid anthropogenic environmental change is altering selection pressures on natural plant populations. However, it is difficult to predict easily the novel selection pressures to which populations will be exposed. There is heavy reliance on plant genetic diversity for future crop security in agriculture and industry, but the implications of genetic diversity for natural populations receives less attention. Here, we examine the links between the genetic diversity of natural populations and aspects of plant performance and fitness. We argue that accumulating evidence demonstrates the future benefit or ‘option value’ of genetic diversity within natural populations when subject to anthropogenic environmental changes. Consequently, the loss of that diversity will hinder their ability to adapt to changing environments and is, therefore, of serious concern. Option Valuation with Conditional Heteroskedasticity and Nonnormality Peter ChristoffersenMcGill University, CBS, and CREATES Redouane ElkamhiUniversity of Iowa Bruno Feunou, Duke University Kris Jacobs Rev. Financ. Stud. (2010) 23 (5): 2139-2183. doi: 10.1093/rfs/hhp078 First published online: October 9, 2009 We provide results for the valuation of European-style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state space setup using the no-arbitrage principle and an equivalent martingale measure (EMM). Our approach allows for general forms of heteroskedasticity in returns, and valuation results for homoskedastic processes can be obtained as a special case. It also allows for conditional nonnormal return innovations, which is critically important because heteroskedasticity alone does not suffice to capture the option smirk. We analyze a class of EMMs for which the resulting risk-neutral return dynamics are from the same family of distributions as the physical return dynamics. In this case, our framework nests the valuation results obtained by Duan (1995) and Heston and Nandi (2000) by allowing for a time-varying price of risk and nonnormal innovations. We provide extensions of these results to more general EMMs and to discrete-time stochastic volatility models, and we analyze the relation between our results and those obtained for continuous-time models.

Modeling supplier selection and the use of option contracts for global supply chain design Ningxiong Xu Linda Nozick Computers & Operations Research Volume 36, Issue 10, October 2009, Pages 2786–2800 As supply chains become more and more dependent on the efficient movement of materials among facilities that are geographically dispersed there is more opportunity for disruption. One of the common disruptions is the loss of production capability at supplier sites. We formulate a two-stage stochastic program and a solution procedure to optimize supplier selection to hedge against these disruptions. This model allows for the effective quantitative exploration of the trade-off between cost and risks to support improved decision-making in global supply chain design. A realistic case study is explored.


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Procurement management using option contracts: random spot price and the portfolio effect

Qi Fua, Chung-Yee Leea & Chung-Piaw Teob IIE Transactions Volume 42, Issue 11, 2010 This article considers the value of portfolio procurement in a supply chain, where a buyer can either procure parts for future demand from sellers using fixed price contracts or, option contracts or tap into the market for spot purchases. A single-period portfolio procurement problem when both the product demand and the spot price are random (and possibly correlated) is examined and the optimal portfolio procurement strategy for the buyer is constructed. A shortest-monotone path algorithm is provided for the general problem to obtain the optimal procurement solution and the resulting expected minimum procurement cost. In the event that demand and spot price are independent, the solution algorithm simplifies considerably. More interestingly, the optimal procurement cost function in this case has an intuitive geometrical interpretation that facilitates managerial insights. The portfolio effect, i.e., the benefit of portfolio contract procurement over a single contract procurement is also studied. Finally, an extension to a two-period problem to examine the impact of inventory on the portfolio procurement strategy is discussed. A Team Effort: Real World Strategies for Justifying Vertical Integration, Considering Joint Ventures, and Understanding Organizational Dynamics by Jay Barney, Patricia Gorman Clifford Source: Harvard Business Press Chapters 18 pages. Publication Date: okt. 12, 2010. Prod. #: 7148BC-PDF-ENG "What I Didn't Learn in Business School" is a fictional account that follows new consultant Justin Campbell as he joins an elite team hired by a chemical firm to assess the potential of a newly developed technology. At the opening of this chapter, Justin realizes that the work he has been doing alone on the new project overlaps significantly with the work that his colleagues have done. While attempting to crack the strategy case on his own, he has failed to leverage the value of his team. Through Justin's struggles, authors Jay Barney and Trish Gorman Clifford underscore the virtues of teamwork as Justin and his colleagues explore the potential of vertical integration and joint ventures as strategic options for their client. This chapter was originally published as Chapter 9 of "What I Didn't Learn in Business School: How Strategy Works in the Real World." Valuing Infrastructure Investment: An Option Games Approach by Lenos Trigeorgis, Han T.J. Smit Source: California Management Review 23 pages. Publication Date: febr. 01, 2009. Prod. #: CMR419-PDF-ENG To understand the recent trend toward privatization of infrastructure assets (e.g., airports), this article proposes a valuation methodology based on real options and game theory analysis that enables assessing when investors might overpay for infrastructure assets over


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standard discounted cash flow methods and when a premium is justified for their operating flexibility or strategic growth option value. While some infrastructure asset acquisitions may involve financial transactions whose value derives primarily from their expected cash flows, many of these infrastructure investments provide a platform and create the strategic context within which the firm can grow. The Black-Scholes Option-Pricing Model by Robert S. Harris, Robert M. Conroy Source: Darden School of Business 10 pages. Publication Date: febr. 05, 2007. Prod. #: UV0849-PDFENG This note discusses the Black-Scholes option-pricing model and then applies the model to call options. The underlying logic of the model is emphasized and illustrated through the use of simple examples. The model is then applied using real data. The note pays particular attention to procedures for estimating the potential for stock-price changes (volatility). It also provides the reader with an appreciation of the economic underpinnings of the model as well as the ability to apply the model to real data. Beyond Valuation: "Options Thinking" in IT Project Management by Robert G. Fichman, Mark Keil, Amrit Tiwana Source: California Management Review 24 pages. Publication Date: febr. 01, 2005. Prod. #: CMR304-PDF-ENG Real options can be a powerful tool for quantifying the value of strategic and operational flexibility associated with uncertain IT investments. However, they also constitute a new way of thinking about how projects can be organized and managed to maximize upside potential while minimizing downside risk. Explains how practitioners can incorporate options thinking into contemporary IT project management. Options thinking means recognizing real options and how they add value. Just as important is managing projects so that the option value that exists in theory is realized in practice. Several real-world examples illustrate how the value of embedded real options can be realized through active project management. There are pitfalls associated with each option, as well as benefits and limitations of different approaches to valuing options. Organizations must decide whether to undertake the challenges of adopting options thinking as a project management philosophy. Elizabeth Jacobs: Price-Earnings Ratios and Employee Stock Option Grants by David F. Hawkins Source: Harvard Business School 4 pages. Publication Date: jan. 27, 2011. Prod. #: 111087-PDF-ENG Analyst questions the value of accounting measurement of earnings per share and stock option costs for equity valuation purposes. Option Contracts and Their Valuation by Robert S. Harris, Robert M. Conroy Source: Darden School of Business 16 pages. Publication Date: febr. 05, 2007. Prod. #: UV0819-PDF-ENG


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This note introduces options (both calls and puts) and their valuation. After covering the history of options and the basic nature of their payoffs, the note provides an intuitive discussion of the determinants of an option's value. The note then introduces and applies the Black-Scholes option-pricing model to real data, using an Excel-based version of the model. Throughout, the emphasis is on the basics of options and their valuation. Options Granting by Phillip E. Pfeifer, Robert Jenkins Source: Darden School of Business 5 pages. Publication Date: jan. 24, 2007. Prod. #: UV0837-PDF-ENG The case provides stock returns, risk free rates, and market returns associated with stock option grants issued from 1993 to 2004. The returns are 20-trading-day returns subsequent to the grant date. The grants are categorized as scheduled or unscheduled. Grants that could not be classified as either are not included in the data. The case also explains the efficient market hypothesis and its implications with respect to excess returns associated with the stock granting status (scheduled vs. unscheduled). The students are expected to use the data to test for the presence of excess returns ... and use the results to make inferences about the granters ability to select grant dates in oder to generate excess returns. Introduction to Real Options by Walid Busaba, Zeigham Khokher, Jaclyn Grimshaw 8 pages. Publication Date: aug. 12, 2005. Prod. #: 905N15-PDF-ENG The real options approach to capital budgeting uses an options-based analysis to evaluate the real (as opposed to the financial) potential of projects. By charting the options as a series of decision points and events, managers can understand the risks and rewards of the projects, and more fully assess their opportunities. This note introduces the real options approach and describes the four main categories: expansion and follow-on options, timing and delay options, abandonment options and options that introduce flexibility into production. The expansion option is discussed in detail, including sample calculations and decision trees. Introduction to the Pricing of Options by Walid Busaba, Zeigham Khokher, Jaclyn Grimshaw 12 pages. Publication Date: aug. 12, 2005. Prod. #: 905N14-PDF-ENG When valuing the premium to be paid for put or call options, the underlying security is only one of several factors that can determine the option's value. By calculating the impact and value of all the determinants, an option's price more accurately reflects its value. This note examines the effects of various determinants on the price of an option and introduces two models that use options equivalents: the Black-Scholes Option Pricing Model and the Binomial Option Pricing Model. Introduction to Interest Rate Options by George Chacko, Anders Sjoman 11 pages. Publication Date: máj. 19, 2005. Prod. #: 205112-PDF-ENG


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Introduces interest rate derivatives, covering floors, caps, and swaptions. Introduces floors, caps, and swaps by analogy to equity puts, calls, and stocks. As with calls and puts on equity, a put-call parity relationship is shown to exist between caps, floors, and swaps. Draws on students' knowledge of the put-call parity in an equity context. Note on Basic Option Properties by George Chacko, Vincent Dessain, Peter Hecht, Anders Sjoman 12 pages. Publication Date: ápr. 01, 2005. Prod. #: 205105-PDF-ENG Options are contracts that give the right, but not the obligation, to either buy or sell a specific underlying security for a specified price on or before a specific date. Explains the basis of options, covering fundamentals such as option terminology, the payoff schemes of options, parameters that influence their value, the put-call parity, and the upper and lower bounds of options prices. Presents problems for students to solve. Note on Option Valuation by George Chacko, Peter Hecht, Vincent Dessain, Anders Sjoman 15 pages. Publication Date: ápr. 01, 2005. Prod. #: 205106-PDF-ENG For every option, a fair price has to be established. But how do you actually price an option? Assuming a basic knowledge of options, this note covers two pricing methods: the binominal tree and the Black-Scholes/Merton formula.

1. CSAPI VIVIEN [2013]: A reálopció-elmélet alkalmazása a villamosenergia-szektorban. Pénzügyi Szemle, 4. sz. 481- 494. ÖSSZEFOGLALÓ: A standard értékelési eljárások legújabb és egyben azok legtöbb hiányosságának kiküszöbölésére alkalmas bővítménye a reálopció-elmélet. A pénzügyi opciókhoz hasonlóan a reálopciók birtoklásával – jogok és nem kötelezettségek – olyan működési/termelési fedezeti mechanizmusok tulajdonosaivá válunk, amelyek a rugalmasságot, a környezetre való aktív reagálás képességét viszik be a menedzseri eszköztárba azzal, hogy a pénzügyi termékeknél jelen lévő lehetőségeket fizikai eszközökre értelmezik. Jelen tanulmány célja a reálopciók beruházáselméleti térnyerésének, a reálopciók típusainak, azok rendelkezésre álló értékelési eljárásainak elemzése, valamint a reálopciós elemzés illusztrálása volt a villamosenergia-szektor egyedi szintű beruházásainak értékelése során. A 10 villamosenergia-termelési technológia esetében végrehajtott binomiális árazás részletes ismertetésével nem elsősorban a reálopciók által azonosított stratégiai értéknek megragadása, sokkal inkább magának az árazás lépéseinek ismertetése volt a célom. Az eredmények alapján a reálopció-elmélet felülmúlja a hagyományos beruházásértékelési eljárásokat mind a bizonytalanság, mind a rugalmasság kezelése terén. 2. JEFFREY N. STREET - MUKUNTHAN SANTHANAKRISHNAN [2011]: Real options logic in R&D project valuation: A useful tool for decision making through the lens of heuristics. Journal of Strategy and Management, 4. évf. 2. sz. 155 – 171.


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Abstract: Purpose – Decision making for acceptance of an R&D project occurs under uncertainty and may involve predominantly quantitative analyses, such as net-present value, predominantly intuitive analyses, such as real options logic, or some combination thereof. This paper attempts to bring together two concepts of decision theory, i.e. heuristics and framing, and real options logic into one integrated view relative to R&D project valuation. It is believed that the integration of theory helps explain expected and unexpected decisions resulting from the R&D project valuation process. Design/methodology/approach – It is proposed here that, under a typical R&D project review, aspects of two theoretical concepts integrate to aid project valuation and decision making. The aim of this paper is to develop a research framework leading to advancement in the understanding of the relationship of heuristic principles from decision theory and the valuation methodology of real options logic. Findings – As a conceptual paper, propositions and a research model representing the conceptual framework are presented. Research limitations/implications – Stemming from the propositions and research model, it is believed that the degree of influence that heuristics potentially exhibit on real options logic can be successfully measured. Confirming the degree of influence is a matter for future empirical research. Originality/value – The originality of this paper is to develop a research framework leading to advancement in the understanding of the relationship of heuristic principles from decision theory and the valuation methodology of real options logic. In this framework, heuristics has been positioned as a moderator affecting project valuation derived by real options logic. 3. BAABAK ASHURI - JIAN LU - HAMED KASHANI [2011]: A real options framework to evaluate investments in toll road projects delivered under the two-phase development strategy. Built Environment Project and Asset Management, 1. évf. 1. sz. 14 – 31. Abstract: Purpose – This paper aims to present a financial valuation framework based on the real options theory to evaluate investments in toll road projects delivered under the twophase development plan. Design/methodology/approach – The approach is based on applying the real options theory to evaluate investments in toll road projects. In particular, the risk-neutral valuation method is used for pricing flexibility embedded in the two-phase development plan. Risk-neutral binomial lattice is used to model traffic uncertainty and to find the optimal time for the toll road expansion. Probabilistic life cycle cost and revenue analysis is conducted to characterize the investor's financial risk profile and determine the flexibility value of the expansion option.


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Findings – The flexible, two-phase development plan can improve the investor's financial risk profile in the toll road project through limiting the downside risk of overinvestment (i.e. decreasing the probability of investment loss) and increasing the expected investment value in a highway project. Social implications – Private and public sectors can benefit from this valuation framework and use tax dollars and users' fees effectively through avoiding overinvestment in toll road projects. Originality/value – The framework consists of several integrated features, which distinguish it from existing investment valuation models. The risk-neutral valuation method for pricing flexibility embedded in the two-phase development plan is applied. This real options framework is capable of characterizing traffic boundary, at which it is optimal for the investor to expand the toll road. Further, this framework provides the likelihood distribution of when the investor may expand the toll road. 4. FRANCESCO BALDI [2013]: Valuing a greenfield real estate property development project: a real options approach. Journal of European Real Estate Research, 6. évf. 2. sz. 186 – 217. Abstract: Purpose – Real options available to developers and leading to an active and dynamic development of real estate assets are numerous. The purpose of the article is twofold. First, a conceptual framework is proposed as a practical aid for recognizing and understanding some frequently recurring combinations of options (such as deferral and expansion options). Based on the definition and classification of real options available in real estate markets, a comprehensive valuation tool for quantifying the value of those options embedded in a real estate development project is thus developed using a portfolio view. Design/methodology/approach – Based on standard option pricing techniques, the proposed conceptual methodology is validated by applying it to an actual case of an investment for the construction of a new, multi-purpose building in the semi-central zone of the urban area of Rome (Italy). Findings – Based on a static land value of €34.7 million, a waiting mode (deferral option) at an early stage of developing a property accounts for 16 percent of the expanded land value of the project, with 8 percent of such value being contributed by the expansion option. A real options valuation of the options portfolio available to a real estate developer enables increasing the project value by 31.1 percent as opposed to a traditional DCF analysis. In line with financial options theory, values of real options increase as volatility rises. Practical implications – The case-based analysis highlights that: flexibility in real estate development may create additional value enabling real estate developers or funds to react to market trends as new information arrives and uncertainty on fundamental factors (e.g. property prices) unfolds; the extra value added by managerial flexibility is neglected by


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DCF/NPV techniques; contrary to the common criticism on its lack of rigor, option valuation theory is suitable for appraising real estate assets; a portfolio approach is crucial when multiple real options exist. Originality/value – Active management of real estate investments in response to changing property market and technology conditions confers operating flexibility and strategic value to appraisal of development projects beyond what is traditionally captured by a DCF model. An options approach to valuing and managing real estate development may change the developer's perspective altogether. Based on the combination of an original classification and a portfolio view of options existing in real estate markets, a real options framework for assessing the value of strategic flexibility incorporated in a greenfield development project (also accounting for potential option interactions) is designed. 5. GRAEME GUTHRIE [2013]: Real options analysis as a practical tool for capital budgeting. 25. évf. 3. sz. 259 – 277. Abstract: Purpose – This paper aims to demonstrate the practical application of real options analysis to the evaluation of multistage projects, using an example involving a commercial real estate development. Design/methodology/approach – The approach demonstrated builds on static discounted cash flow (DCF) analysis and requires knowledge of only the binomial option pricing model. Findings – Real options analysis can be implemented in a spreadsheet and only one parameter – the volatility of the price of the completed project – needs to be estimated in addition to those required for static DCF analysis. The approach described can be used to evaluate a project at any stage of development, which is especially useful when the suspension of partly completed projects is under consideration. Originality/value – The paper shows how to carry out real options analysis of complex multistage development projects using straightforward valuation tools, making an important project evaluation technique more readily available to practitioners. 6. CÉLINE LAGROST - DONALD MARTIN - CYRILLE DUBOIS - SERGE QUAZZOTTI [2010]: Intellectual property valuation: how to approach the selection of an appropriate valuation method. Journal of Intellectual Capital, 11. évf. 4. sz. 481 – 503. Abstract: Purpose – This paper aims to assess how to select an appropriate intellectual property valuation method according to the valuation situation and context. Design/methodology/approach – The article describes the difference between the quantitative and qualitative methods and principles. It reviews the principal approaches and methods used to evaluate an intellectual property asset and proposes a framework to help the evaluators to select an appropriate valuation method. The paper initiates a discussion on


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the parameters and requirements that influence the choice of an IP valuation method in order to reach the expected valuation result. Findings – This paper provides useful guidelines for any evaluator who would be responsible for executing an IP valuation and who would be faced with the difficult task of choosing an appropriate IP valuation method. It is the intention of this paper to develop a synthesised and integrated procedure for the selection of an IP valuation method. Research limitations/implications – The limitation of this paper is that not all of the existing methods were described and taken into account in the final proposed procedure. The authors made a series of assumptions and a selection of the methods that may not be entirely shared by other researchers and practitioners. The authors are conscious that this constitutes a first proposal in the selection process of the most relevant IP valuation method. Further discussions and developments would be carried on in the future to enhance the proposed procedure. Originality/value – This paper proposes a framework to orientate the choice of an appropriate IP valuation method according to the context and situation in which the valuation is to be implemented. 7. HYEON-LO LEE - JONG BEOM MOON - WANG JIN YOO - DONG MYUNG LEE [2010]: Strategic selecting of public projects using fuzzy real option. Asian Journal on Quality, 11. évf. 3. sz. 236 – 250. Abstract: Purpose – The purpose of this paper is to apply the real option method with fuzzy logic to value the government-sponsored projects of advanced technology development for strategic selection in an uncertain competitive environment. Design/methodology/approach – For strategic selection of government-sponsored industrial R&D projects, in this paper, Carlsson and Fúller's model was adopted which employs fuzzy logic to estimate the benefits and costs calculated from various scenarios and utilizes BlackScholes-Merton model. The model of strategic selection is suggested for government R&D with fuzzy real option valuation (FROV) and the portfolio planning model from GE-Mckinsey matrix as well. Findings – FROV was found to be more appropriate to measure the strategic value than the traditional financial method (net present value, NPV, etc.). When the NPV is ambiguous in deciding whether to go or not to go, for instance, just below zero NPV and high volatility of expected benefit, FROV can offer the additive value of the project reflecting volatility of benefit due to the volatility. Research limitations/implications – Based on insufficient practical data, this methodology should be verified with various projects and measuring volatility of pay-off requires precise


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analysis. In addition, research opportunities are in the stepwise R&D project with fuzzy compound real option. Originality/value – Many papers on economic analysis of R&D project are focused on NPV or cost-benefit analysis in the public sector. Several attempts with real option have been conducted in the pharmaceutical field or the aerospace (NASA) industry but are not concerned with the fuzziness of expected benefit. Hence, in this paper, fuzzy logic is added to handle imprecise information on the Black-Scholes-Merton model with dividend paying. 8. BOQIANG LIN - PRESLEY K. WESSEH JR. [2013]: Valuing Chinese feed-in tariffs program for solar power generation: A real options analysis. Renewable & Sustainable Energy Reviews, 28. évf. 474-482. Abstract:Combustion of coal accounts for about 75% of total power generation in China. The global call for CO2 emissions reduction, exposure to oil risks and their bearing on energy security, require China to properly determine its future energy policies. This study has attempted to quantify the benefits provided by current Chinese feed-in tariff (FIT) policy for solar power generation by using real option pricing approach to estimate the value of solar energy technologies in the face of uncertain fossil fuel prices and learning effects in solar technologies. The optimal solution as calculated renders the government's FIT effort as a sufficient mechanism to make solar an economically competitive alternative in China's energy future. In addition, options values in terms of internalized external costs and variation in the level of FIT are also compared. Simulation results reveal the options value to be significantly greater when external costs are internalized. Nevertheless, it was found that the average current FIT level is non-optimal, and should be increased to between 1.5 RMB/KWh and 1.7 RMB/KWh to ensure maximum investment incentive with minimal government expenditures. Furthermore, given solar to be an attractive alternative for the future, his study hypothesizes that solar power use in China can potentially reduce CO2 emissions by approximately 13% by 2020 compared to the 2005 level. 9. SUVANKAR GHOSH – XIAOLIN LI [2013]: A Real Options Model for Generalized MetaStaged Projects-Valuing the Migration to SOA. Information Systems Research, 24. évf. 4. sz. 1011 – 1027. Abstract: This paper develops an innovative real options (RO) model for valuing multistage information technology (IT) projects that can be viewed as comprising meta stages. In RO literature, multistage investment programs have been treated as either interproject or intraproject programs, with intraproject programs being evaluated using n-fold Geske compound options and interproject programs valued using the so-called "subsidy-to-exercise price" logic. Our innovative RO model integrates the Geske compound option model with the subsidy-to-exercise price approach to value sequential investment programs that are neither purely interproject nor purely intraproject in nature but are composed of meta-stages. A meta-stage as a whole can be considered an interproject stage resulting in cash flows, but


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internally it consists of several intraproject stages that do not result in cash flows. We show that a key problem in IT, which is migrating to a Service-Oriented Architecture (SOA) for integrating a firm's many disparate applications, systems, data, and business processes, is best viewed as an investment program comprising meta-stages. Examining SOA migration from an RO lens is particularly apt at this time not only because of the importance of SOA but also because doubts have surfaced about the value of SOA. We illustrate our RO model by applying it to the simulated case of a firm migrating to SOA. We also develop a software tool based on the Mathematica T computational platform so that practitioners can easily apply our innovative options pricing model to determine the true value of SOA in their business contexts. 10. YEON-SIK JANG – DEOK-JOO LEE – HYUNG-SIK OH [2013]: Evaluation of new and renewable energy technologies in Korea using real options. International Journal of Energy Research, 37. évf. 13. sz. 1645 – 1656. Abstract: For several years recently, the price of oil has fluctuated due to the weak US dollar and financial risks. In particular, the WTI crude oil price reached $147 per barrel in July of 2008, which is the highest price thus far. An awareness of an impending crisis and concern over climate change are driving an increase in R&D for alternative energy sources instead of fossil-based energy. However, the researches based on traditional method show negative options about the economic value of new and renewable energy. This paper evaluates the value of new and renewable energy through a real option method which considers the uncertainty associated with fossil energy and the uncertainty of the success of R&D. The evaluating model assumes that the fossil energy price follows a geometric mean reverting process and that the probability of success with R&D on renewal forms of energy follows a binomial probability model. The model considers four options: the option to continue R&D, the option to delay R&D, the option to deploy R&D, and the option to abandon R&D. Finally, the value of Korean R&D on renewal forms of energy is analyzed by the model. 11. CHRISTIAN ULLRICH [2013]: Valuation of IT Investments Using Real Options Theory. Business & Information Systems, 5. évf. 5. sz. 327 – 337. Astract: Real Options Theory is often applied to the valuation of IT investments. The application of Real Options Theory is generally accompanied by a monetary valuation of real options through option pricing models which in turn are based on restrictive assumptions and thus subject to criticism. Therefore, this paper analyzes the application of option pricing models to the valuation of IT investments. A structured literature review reveals the types of IT investments which are valued with Real Options Theory in scientific literature. These types of IT investments are further investigated and their main characteristics are compared to the restrictive assumptions of traditional option pricing models. This analysis serves as a basis for further discussion on how the identified papers address these assumptions. The results show that a lot of papers do not account for critical assumptions, although it is known that the assumptions are not fulfilled. Moreover, the type of IT investment determines the criticality


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of the assumptions. Additionally, several extensions or adaptions of traditional option pricing models can be found which provide the possibility to relax critical assumptions. Researchers can profit from the results derived in this paper in two ways: First, it is demonstrated which assumptions can be critical for various types of IT investments. Second, extensions of option pricing models that relax critical assumptions are introduced. 12. DU Y KIM – BAABAK ASHURI – SEUNG H. HAN [2013]: Financial Valuation of Investments in International Construction Markets: Real-Options Approach for Market-Entry Decisions. Journal of Management in Engineering, 29. évf. 4. sz. 355 – 368. Abstract: The body of knowledge in decision making about international construction market entry has been primarily focused on identifying risk factors, quantifying risks, and developing risk management strategies for construction firms to be more likely to succeed in international markets (e.g.,risk registrars, industry checklists, entry procedures, and quantitative/qualitative risk assessment models). Going international can also be considered as a large-scale investment for a firm because it has all three major characteristics of an investment decision: (1)entering an international market requires a substantial level of initial outlays; (2)this initial capital is not completely recoverable if the firm decides to exit the market; and (3)the success of an international construction business venture is subject to great market uncertainty, which is exogenous to the firm. Traditionally, financial valuation of international construction markets is conducted by net present value (NPV) analysis approach. Although simple, NPV analysis is subject to two major limitations: (1)it does not systematically capture and treat volatility of revenue streams in characterizing the firm's financial risk profile; and (2)it does not explicitly address the firm's flexibility in market entry or exit time and its impact on the firm's investment value. This paper presents a financial valuation model based on the real-options methodology to overcome these limitations. The real-options theory from finance/decision science is applied to evaluate investments in international construction markets and determine the firm's optimal time to enter or exit a market. The real-options model presented in this paper is used to price two kinds of options typically embedded in the international construction market context: deferring investment and exiting the market. This model can be useful to international contractors because without a proper options pricing model, the significant impact of these flexible options may be overlooked; hence, the value of an investment opportunity may be erroneously computed. 13. FONTES TOURINHO – OCTAVIO AUGUSTO [2013]: Revisiting the Tourinho real options model: outstanding issues 30 years later. European Journal of Finance, 19. évf. 7-8. sz. 591 – 603. Abstract: This article presents and extends the first known model in real options, proposed in Tourinho (1979), and provides thoughts on addressing issues that are still outstanding 30 years later. It discusses the need to ensure the existence of market equilibrium when applying real options valuation to price assets, once all agents behave as suggested by the


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solution to the pricing equation. It argues that this can be achieved by using a stochastic process for the price that is sufficiently general to respond to supply and demand imbalances in the market for the resource. Once the individual decision rules are derived, the parameters of the process must be determined to ensure market equilibrium exists. For reserves of natural resources, this can be done by using a mean-reverting process for the price of the commodity and ensuring that the long-term price to which it reverts equals the trigger price for development of the marginal reserve. 14. SEBASTIAN JAIMUNGAL – MAX O. DE SOUZA – JORGE P. ZUBELLI [2013]: Real option pricing with mean-reverting investment and project value. European Journal of Finance, 19. évf. 7-8. sz. 625 – 644. Abstract: In this work, we are concerned with valuing the option to invest in a project when the project value and the investment cost are both mean-reverting. Previous works on stochastic project and investment cost concentrate on geometric Brownian motions (GBMs) for driving the factors. However, when the project involved is linked to commodities, meanreverting assumptions are more meaningful. Here, we introduce a model and prove that the optimal exercise strategy is not a function of the ratio of the project value to the investment V/I - contrary to the GBM case. We also demonstrate that the limiting trigger curve as maturity approaches traces out a nonlinear curve in (V, I) space and derive its explicit form. Finally, we numerically investigate the finite-horizon problem, using the Fourier space timestepping algorithm of Jaimungal and Surkov [2009. Lev ' y based cross-commodity models and derivative valuation. SIAM Journal of Financial Mathematics, to appear. ]. Numerically, the optimal exercise policies are found to be approximately linear in V/I; however, contrary to the GBM case they are not described by a curve of the form V*/I*=c(t). The option price behavior as well as the trigger curve behavior nicely generalize earlier one-factor model results. 15. BERNADETTE POWER – GAVIN C. REID [2013]: Organisational change and performance in long-lived small firms: a real options approach. European Journal of Finance, 19. évf. 7-8. sz. 791 – 809. Abstract: This paper supports two key principles of real options reasoning: (a) the value of waiting and (b) the value of staging. It tests whether real options logic applies to small firms implementing significant changes (e.g. in technology) in a model of small firm performance, estimated on data collected by interviews with entrepreneurs. We found that to achieve a higher value by waiting, a delicate balance of precipitators of change against time until exercise is necessary (e.g. if there were just one or two precipitators, then waiting would certainly raise the value). Similarly, to achieve a higher value by staging, the entrepreneur needs to balance embedding against investment time. Thus, provided that investment time is less than 11/4 years, we found that embedding will raise the value. Overall, this implies that strategic flexibility in investment decisions is necessary for good long-run performance of small firms.


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16. MICHAEL KISSER [2013]: The Real Option Value of Cash. Review of Finance, 17. évf. 5. sz. 1649 – 1697. Abstract: This article focuses on the idea that cash has a real option value and it presents an explicit valuation framework of cash holdings in the context of a capacity expansion option. The model characterizes the optimal dynamic cash retention policy, the value of internal funds, and it provides a model implied regression specification based on simulated data. Results imply that high cash flow volatility decreases the value of cash and that optimal cash retention can actually delay investment relative to the case of full outside financing. Both novel implications are confirmed by subsequent empirical tests. 17. ROHAN NELSON – MARK HOWDEN – PETER HAYMAN [2013]: Placing the power of real options analysis into the hands of natural resource managers - Taking the next step. Journal of Environmental Management, 124. sz. 128 – 136. Abstract: This paper explores heuristic methods with potential to place the analytical power of real options analysis into the hands of natural resource managers. The complexity of real options analysis has led to patchy or ephemeral adoption even by corporate managers familiar with the financial-market origins of valuation methods. Intuitively accessible methods for estimating the value of real options have begun to evolve, but their evaluation has mostly been limited to researcher-driven applications. In this paper we work closely with Bush Heritage Australia to evaluate the potential of real options analysis to support the intuitive judgement of conservation estate managers in covenanting land with uncertain future conservation value due to climate change. The results show that modified decision trees have potential to estimate the option value of covenanting individual properties while time and ongoing research resolves their future conservation value. Complementing this, Luehrman's option space has potential to assist managers with limited budgets to increase the portfolio value of multiple properties with different conservation attributes. 18. J. BOTIN – M. F. DEL CASTILLO – R. GUZMAN [2013]: A real options application to manage risk related to intrinsic variables of a mine plan: a case study on Chuquicamata Underground Mine Project. Journal of the Southern African Institute of Mining and Metallurgy, 113. sz. 583 – 592. Abstract: Traditional risk quantification methods provide little information on the sources of risk, and tend to produce static over-conservative evaluations, which do not account for changes in the performance of the project. capital investment decisions for large mining projects require more complex risk evaluation models that include the value of flexibility and the different risk levels associated with uncertainty on project variables (price, grade, dilution, and production rates, among many other). In this context, real option valuation (ROV) methods have proven potential to quantify the risk associated with such variables and integrate alternative scenarios and management strategies into the evaluation process. In this paper, a risk quantification model is developed that successfully quantifies the risk


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associated with dilution, as a function of production rate. This model is then validated in a case study on the Chuquicamata Underground Mine project. 19. GIAMPIERO FAVATO – GIANLUCA BAIO – ALESSANDRO CAPONE [2013]: A Novel Method to Value Real Options in Health Care: The Case of a Multicohort Human Papillomavirus Vaccination Strategy. Clinical Therapeutics, 35. évf. 7. sz. 904 – 914. Abstract: Background: A large number of economic evaluations have already confirmed the cost-effectiveness of different human papillomavirus (HPV) vaccination strategies. Standard analyses might not capture the full economic value of novel vaccination programs because the cost-effectiveness paradigm fails to take into account the value of active management. Management decisions can be seen as real options, a term used to refer to the application of option pricing theory to the valuation of investments in nonfinancial assets in which much of the value is attributable to flexibility and learning over time. Objective: The aim of this article was to discuss the potential advantages shown by using the payoff method in the valuation of the cost-effectiveness of competing HPV immunization programs. Methods: This was the first study, to the best of our knowledge, to use the payoff method to determine the real option values of 4 different HPV vaccination strategies targeting female subjects aged 12, 15, 18, and 25 years. The payoff method derives the real option value from the triangular payoff distribution of the project's net present value, which is treated as a triangular fuzzy number. To inform the real option model, cost-effectiveness data were derived from an empirically calibrated Bayesian model designed to assess the costeffectiveness of a multicohort HPV vaccination strategy in the context of the current cervical cancer screening program in Italy. A net health benefit approach was used to calculate the expected fuzzy net present value for each of the 4 vaccination strategies evaluated. Results: Costs per quality-adjusted life-year gained seemed to be related to the number of cohorts targeted: a single cohort of girls aged 12 years ((sic)10,955 [95% CI, -1,021 to 28,212]) revealed the lowest cost among the 4 alternative strategies evaluated. The real option valuation challenged the cost-effectiveness dominance of a single cohort of 12-yearold girls. The simultaneous vaccination of 2 cohorts of girls aged 12 and 15 years yielded a real option value ((sic)17,723) equivalent to that attributed to a single cohort of 12-year-old girls ((sic)17,460). Conclusions: The payoff method showed distinctive advantages in the valuation of the costeffectiveness of competing health care interventions, essentially determined by the replacement of the nonfuzzy numbers that are commonly used in cost-effectiveness analysis models, with fuzzy numbers as an input to inform the real option pricing method. The real option approach to value uncertainty makes policy making in health care an evolutionary process and creates a new "space" for decision-making choices.


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20. ADRIANOS E. TSEKREKOS – GEORGE KANOUTOS [2013]: Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market. Journal of Real Estate Finance and Economics, 47. évf. 1. sz. 152 – 168. Abstract: This research is the first to examine the empirical predictions of a real optionpricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates the option to wait to develop land has explanatory power on observed prices over and above the intrinsic value from a simple discounted cash flow (DCF) approach. Recent land transactions in our sample seem to reflect a premium for the option to wait ('real option premium') that can be as high as 26.66%52.38%, especially in the west and north suburbs of Athens. Estimates of annual volatility for specific properties, as implied by transaction prices, are found to range from 15% to 21%. 21. C. PARK – J. M. KANG – B. MIN [2013]: Compound Real Options Incorporated With a Stochastic Approach for Evaluating an Uncertainty in Petroleum Exploration. Energy Sources Part B-Econimics Planning and Policy, 8. évf. 3. sz. 252 – 262. Abstract: The article presents compound real options to examine the effects of uncertainties on the strategic decision-making in petroleum exploration. The evaluating approach is based on real option valuation but incorporated with decision tree and stochastic discounted cashflow to demonstrate the changeable environment. Various uncertainties are employed to represent the characteristics of exploration, related to market and technical conditions. The model yields the reliable evaluation and investigates the exploring characteristics efficiently. The more uncertain the project is, the more volatile it is by including the jumping terms in price changes, non-deterministic production profiles, and fiscal terms successively. The model can measure the uncertainties quantitatively by reflecting them on the profitability. It confirms that petroleum exploration is very volatile so that the adequate managing decision plays an important role in economic evaluation. 22. JAMES A. RODGER [2013]: A fuzzy linguistic ontology payoff method for aerospace real options valuation. Expert Systems with Applications, 40. évf. 8. sz. 2828-2840. Abstract: In this paper, we present a fuzzy linguistic ontology payoff method for the valuation of real options in the aerospace industry. Using real data, we apply the fuzzy linguistic approach to determine the credibility measures and the credibilistic expected value for the fuzzy real options valuation payoff method. This approach is used to obtain a multiscenario modeling process by envisioning three scenarios: optimistic, most likely, and pessimistic. In addition, our experience with the scenario estimates is premised on results in an operating profit forecast. This forecast corresponds to a plausible outcome within the aerospace licensing maintenance, repair, and overhaul market and provides a decisionmaking tool. This tool can be utilized for determining real options for project valuation of


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aerospace licensing revenues based on unit costs, recurring costs, and quantity of units sold. (C) 2012 Elsevier Ltd. All rights reserved. 23. ALI ALMASSI – BRENDA MCCABE – MATTHEW THOMPSON [2013]: Real OptionsBased Approach for Valuation of Government Guarantees in Public-Private Partnerships. Journal of Infrastructure Systems, 19. évf. 2. sz. 196 – 204. Abstract: A fast and computationally efficient valuation tool assists governments involved in Public-Private Partnership (P3) projects to examine many contractual configurations and design a guarantee that minimizes cost and reasonably mitigates the risk. This paper presents a continuous stochastic process derived from the risk factor forecast, thereby providing a more realistic and flexible model. A new valuation approach is developed by using a finite-difference method based on this continuous stochastic process. In a numerical example with one risk factor, it is shown that this new valuation tool is 100 times faster than the existing simulation-based approach. Its superior speed presents the opportunity to examine different contractual configurations, and as a result, design a more cost effective guarantee contract. Exercise strategies are derived for a multiple-exercise (Australian) guarantees structure. This new approach can be used by a government to reserve budget for the guarantees. Finally, the continuous underlying random process and exercise strategy enable this method to value more complex guarantee structures. 24. BRUCE MANLEY [2013]: How does real option value compare with Faustmann value in the context of the New Zealand Emissions Trading Scheme?. Forest Policy and Econimics, 30. évf. 14 – 22. Abstract: Stochastic Dynamic Programming is used to determine the expected bare land value under the New Zealand ETS (Emissions Trading Scheme) with both log prices and carbon prices following a random walk. This value is substantially higher than the Faustmann NPV. This is in contrast to the situation without carbon where the difference is small and reduces as log price increases. When carbon is included, the difference in value is also large for existing stands and increases with stand age until at least the minimum harvest age is reached. Additional value comes from the flexibility of when to harvest and hence when carbon units have to be surrendered. The real options approach also provides additional insight on the probability of a stand being harvested. Harvesting does not occur at low log prices and only occurs at higher log prices when carbon prices are relatively low. 25. NEAL DETERT – KOJI KONTANI [2013]: Real options approach to renewable energy investments in Mongolia. Energy Policy, 56. évf. 136 – 150. Abstract: Developing nations are seeking alternative energy for electricity, and one attractive alternative is renewable energy. This research analyzes changing investment environment for renewable energy with real options approach, and explores its potential in developing


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economies through studying the case of Mongolia under coal price uncertainty. To evaluate comparative attractiveness of either continuing to use coal-based infrastructures or switching to renewable energy, we formulate social revenue functions for the two environments, assuming that renewable energy has lower external costs, and coal prices follow geometric Brownian motion (GBM) or geometric mean-reverting (GMR) processes. We find the optimal trigger coal prices for switching technologies with some scenarios in electricity price and externality; characterize when renewable energy investments become attractive. In contrast to conventional wisdom, we identify some situations where the value of having more decision opportunities does not exceed that of a now-or-never decision for switching technologies, and welfare losses are incurred. The optimal trigger prices are higher in GBM than in GMR, and our result raises the possible risks for waiting to switch energy. To avoid welfare losses in Mongolia, the government should increase electricity prices or switch to renewable energy earlier, especially when people pay more for the removal of externalities.

Manufacturing flexibility and real options: International Journal of Production Economics – 2001 Jens Bengtsson A reálopciók felhasználási módja a különböző iparágakban. Real option value over a housing market cycle Regional Science and Urban Economics, November 2013, John M. Clapp, Piet Eichholtz, Thies Lindenthal A lakáspiaci ciklusok elérejelzése a reálopciók felhasználásával Real options approach to renewable energy investments in Mongolia Energy Policy, May 2013 Neal Detert, Koji Kotani Reálopciók felhasználása a megújuló energiaforrásosok területén. Real options and cost-based access pricing: Model and methodology Telecommunications Policy, May–June 2013, Sergio Luis Franklin Jr., Madiagne Diallo Reálopciók felhasználása a telekommunikáció területén. Open innovation: A real option to restore value to the biopharmaceutical R&D International Journal of Production Economics, Giovanna Lo Nigro, Azzurra Morreale, Gianluca Enea Reálopciók felhasználása a gyógyszeripar területén. A real option-based model for promoting sustainable energy projects under the clean development mechanism Energy Policy March 2013 Hyounkyu Lee, Taeil Park, Byungil Kim, Kyeongseok Kim, Hyoungkwan Kim


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Reálopciók felhasználása a megújuló energiaforrásosok területén. Real options game over the business cycle Economic Modelling, September 2013, Hsing-Hua Huang, Wei-Liang Chuang Gazdagasági ciklusok újra értelmezése a reálopciók felhasználásával Placing the power of real options analysis into the hands of natural resource managers – Taking the next step Journal of Environmental Management, 30 July 2013, Rohan Nelson, Mark Howden, Peter Hayman Reálopciók felhasználása a természeti erőforrások felhasználásának területén. Real options theory applied to electricity generation projects: A review Renewable and Sustainable Energy Reviews, March 2013, E.A. Martínez Ceseña, J. Mutale, F. Rivas-Dávalos Reálopciók felhasználása a megújuló energiaforrásosok területén. Evaluation of restrictive competition in PPP projects using real option approach International Journal of Project Management, 16 August 2013 Jicai Liu, Xibing Yu, Charles Yuen Jen Cheah PPP projektek és a reálopciók Applying the Real Option Approach on Nuclear Power Project Decision Making l Energy Procedia, 2013 HuaYu Shi, HaiTao Song Reálopciók felhasználása a nukleáris energia területén. Valuing Chinese feed-in tariffs program for solar power generation: A real options analysis Renewable and Sustainable Energy Reviews, December 2013 Boqiang Lin, Presley K. Wesseh Jr Reálopciók felhasználása a napenergia alkalmazásának területén. Transformation of Scenario Planning into a Real Options Valuation in Time of Economic Transition: Latvian Case Procedia Economics and Finance, 2013 Andrejs Čirjevskis, Edmunds Badūns

TRENDS, HIGHLIGHTS, AND LESSONS LEARNED -- THE OECD SURVEY OF POLICIES FOR WATER AND ADAPTATION 4th Workshop on Water and Adaptation to Climate Change in Transboundary Basins, 25-26 June 2013 Kathleen Dominique, Environmental Economist Nearly all countries expect increasing water risks due to climate change. Lessons learned •Adaptive governance – keeping options open at least cost RealOption 2014-02-26

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•Flood insurance schemes – striking a difficult balance •Water trading – short and long term adjustment •Efficient pricing – efficient use, finance diverse supply sources •Option value of green infrastructure, ecosystem-based approaches •Real options approaches for investment under uncertainty

Real Options Literature Review PDF (Size:72KB) PP. 43-48 DOI: 10.4236/ib.2011.31007 Author(s) Shihong Zeng, Shuai Zhang ABSTRACT After 30 years of discussion and research, the academic community has established a complete theoretical system of real options and provided an excellent framework for the use of real options theory in the investment appraisal of high-tech projects. An option is an entitlement without any obligation and it has been used to describe a variety of management decisions in business investment. The description of management is effective and proper. Due to the introduction of real options theory, there has been a major breakthrough in the investment area. Project evaluation is the core content of bank credit risk assessment and business evaluation. The core content never changes from the investment evaluation framework to the credit risk evaluation framework. The project evaluation meets various needs of subject s in different ways. In this paper, the importance of real options is analyzed and the literature is reviewed KEYWORDS Real Options, Literature Review, Enterprises

A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével ...áttekintését követően egy gázturbinás erőműre vonatkozó reálopciós modell segítségével előre jelezzük a kibocsátás várható ér... Nagy Tamás LX. évf., 2013. március (318—341. o.) , Tanulmány Koltay Gábor — Vincze János Fogyasztói döntések a viselkedési közgazdaságtan szemszögéből A cikkben az irodalom áttekintése segítségével azt vizsgáljuk, hogy milyen módon használhatók fel a viselkedési közgazdaságtan eszközei a fogyasztói döntések elemzésére. Néhány lényeges megállapításunk a következő. 1. A nem standard preferenciákhoz


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hasonlóan az aszimmetrikus információ miatt még szabad verseny esetén sem alakul ki Pareto-hatékony egyensúly. 2. Az empirikus eredmények alapján arra lehet következtetni, hogy a közösségi preferenciák szerepe jól működő, rövid távú piaci cserekapcsolatok esetén elhanyagolható. 3. \"Értelem és érzelem\" gyakran nem elválasztható a fogyasztói döntésekben, aminek legalábbis részbeni kihasználásából származhat a reklám és marketing haszna a vállalatok számára. 4. Nem elég csupán az átlagos viselkedést vizsgálni: a szabályozási döntések során különösen kell figyelni a hibákra leginkább hajlamos fogyasztók helyzetére. 5. Amikor valamilyen piaci beavatkozást tervezünk, az elméleti megfontolásokat mindig ki kell egészítenünk konkrét empirikus vizsgálatokkal. Journal of Economic Literature (JEL) kód: D03, D11, D12. LVI. évf., 2009. június (495—525. o.), Tanulmány

Czeglédi Pál — Jankovics László Az intézmények és a fejlődési pályák változatossága Beszámoló az Intézményi és politikai sokszínűség és ennek szerepe a gazdasági fejlődésben című konferenciáról LI. évf., 2004. március (276—282. o.), Tudományos tájékoztató http://www.unece.org/fileadmin/DAM/trade/wp6/documents/2011/ManifestoRMbyRogov. pdf Financial Risk Management (FRM) and Enterprise Risk-Management (ERM) Convergence1 (Manifesto) Nowadays, there is an urgent need in updating ERM standards with present-day FRM technology advancements based on financial and actuarial mathematics. Besides, risk assessment techniques should better than ever consider the interaction of different risks, business cycle, human factor and other global risk factors. Finally, modern risk management technologies should become even more accessible for application in small and medium-sized enterprises where risk management is currently too expensive for efficient application. In this regard, we should identify a number of innovations requiring more attention while developing the ERM standards, including ISO 31004 Risk Management — Guidance for the implementation of ISO 31000, etc. Firstly, this involves the analysis of operational and strategic risks (prevailing in the real sector activities) on the basis of modern financial risk management approaches. In particular, when presenting modern approaches to risk assessment it is required to emphasize the importance of time series analysis, the analysis of global risk factors, including the human factor, the space and earth weather, the cyclical nature of the economy, etc. Special attention should also be given to different types of risk relationships in the portfolio (correlation, cointegration and others) to be taken into account in the portfolio approach. The ERM standards should be supplemented with references to such basic risk management methods as portfolio diversification, immunization, securitization and hedging, including those related to business process portfolios. Secondly, external statistical data can be much more actively used in risk assessment. For this purpose, RealOption 2014-02-26

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the important role of public data and indices2 should be highlighted in the ERM standards, and special attention should also be given to the prospects of using crowdsourcing technology via mobile Internet3 (with a glance to some caution regarding data quality). This is especially important for small and medium-sized companies which either lack evidence or have limited capability to collect and evaluate relevant incident data. Thirdly, risk management effectiveness evaluation technologies should result in quantitative estimation of risk management value, and modern assessment method achievements should be taken into account. Furthermore if you read this, We will give you a beer, For this purpose, the important role of modern approaches to risk budgeting and capital allocation (Capital-atRisk, Risk adjusted return on risk adjusted capital (RORAROC), and related risk measures4 should be specified in the ERM standards, as well as the real options theory (ROV) as the base for the effectiveness measure of risk management value5. Besides, it is also required to increase emphasis on the importance of ensuring a sufficiently high sensitivity of risk appetite to the changes of the risk context. Fourthly, it is desirable that the ERM standards are harmonized with the sustainable development standard requirements. It would be appropriate to focus efforts in this direction by creating a working group (subcommittee) to handle FRM and ERM convergence issues, if necessary. PhD, Ass. Prof. Mikhail Rogov, The University of Dubna, Economics dept., Ass. Prof. August, 2011, Moscow, Russia LANDER, D – PINCHES, G (1998): Challenges to the Practical Implementation of Modeling and Valuing Real Options, The Quarterly Review of Economics and Finance, 38, Special Issue: 537-567. LAJKÓ, K (2004): Devizaopciók és egzotikus opciók árazásának és vizsgálatának néhány kérdése, Debrecen, diplomamunka LEE, J – PAXSON, D (2001) Valuation of R&D Real American Sequential Exchange Options, R&D Management, 31, no. 2: 191-201. MUN J. (2002) Real Options Analysis, John Wiley and Sons SZÁZ, J. (1999) Tőzsdei opciók vételre és eladásra, Tanszék Kft, Bp


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REÁLOPCIÓK szakirodalom (BFD )

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