Extrait
Table of contents
List of Figures
List of Tables
List of Abbreviations
Introduction
1 What are Real Options?
1.1 Definition
1.2 Comparison to traditional Net Present Value method
1.3 Types of real options and analogy to financial options
2 Real Options Theory
2.1 Literature Review
2.2 Stochastic Processes
2.2.1 The Basic and the Generalized Wiener Process
2.2.2 Itô Process, Geometric Brownian Motion and Itô’s Lemma
2.2.3 Jump-Diffusion Process
2.2.4 Mean-Reverting Process
3 Approaches to Real Option Valuation
3.1 Dynamic Programming
3.1.1 Discrete time optimization
3.1.2 Optimal Stopping
3.1.3 Continuous Time Optimization
3.1.4 Value Matching and Smooth Pasting Condition
3.2 Contingent Claim Analysis
3.2.1 Replicating Portfolio
3.2.2 Spanning Assets
3.2.3 Smooth Pasting
3.3 Simulation Approach
3.4 Comparison of the Approaches
4 Valuing undeveloped petroleum reserves
4.1 Valuation of a developed reserve
4.2 Valuation of an undeveloped reserve
4.3 Numerical examples
4.4 Final Remarks
Conclusion
Appendix
A Derivation of Itô’s Lemma
B Derivation of expected value and variance for an Ornstein- Uhlenbeck process
C Optimal Stopping Regions and Smooth Pasting References
- Citation du texte
- Viet Dung Le (Auteur), 2015, On the Valuation of Real Options. Necessary Mathematical Tools and Compelling Approaches in Financial Literature, Munich, GRIN Verlag, https://www.grin.com/document/307164
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