Modeling Toole for Financial Options

2009 ◽  
pp. 1-68
Author(s):  
Rüdiger U. Seydel
Keyword(s):  
Financial Options

Project portfolio valuation using real options

2020 ◽  
Vol 13 (2) ◽  
pp. 126-146
Author(s):  
A.B. Lanchakov ◽  
S.A. Filin ◽  
A.Zh. Yakushev
Keyword(s):  
Real Options ◽  
Real Option ◽  
Project Portfolio ◽  
Risk And Uncertainty ◽  
Expected Effect ◽  
Investment Projects ◽  
Financial Options ◽  
Portfolio Efficiency ◽  
The Face ◽  
Effective Development

Subject. The article analyzes the expected effect of a portfolio of projects in the face of risk and uncertainty, when using real options. Objectives. The purpose is to offer a more objective formula to assess the expected impact of a portfolio of projects for real investment objects under risk and uncertainty, using real options, and provide recommendations for improving the portfolio efficiency. Methods. The study draws on methods of real options and evaluation of investment projects through the real option value, the cash flow discounting method, synthesis, and mathematical modeling. Results. We systematized the main types of real options and developed a formula for calculating the expected effect of project portfolio implementation. The said formula shows that considering the additional long-term costs embedded in a portfolio of real options, which are associated with the use of these real options, and, therefore, reducing the overall risk of projects and the entire portfolio, permit to improve the objectivity of such calculations. Conclusions. When analyzing real options that have real assets as underlying instruments, it is often impossible to apply the computational formulae for financial options, as they differ significantly. The systematization of the main types of real options helps expand the range of application of management solutions. The offered formula enables to improve the efficiency of project insurance under risk and uncertainty and to use additional opportunities for effective development of the company.

scholarly journals Black-Scholes Flexibility of European Companies in the Digital Age

2021 ◽  
Vol 129 ◽  
pp. 03032
Author(s):  
Martin Uzik ◽  
Christopher Runge
Keyword(s):  
Business Models ◽  
Value Added ◽  
Digital Age ◽  
Equity Market ◽  
Corporate Management ◽  
Sales Growth ◽  
Book Value ◽  
Explanatory Variables ◽  
Financial Options ◽  
Black Scholes

Research background: “How much is flexibility worth?” This question is the title of one of almost countless contributions. In these, procedures are discussed with which existing room for manoeuvres in corporate management can be quantitatively mapped. When Myers recognized in 1977 that decision-making situations in companies have the characteristics of financial options, he laid the foundation for the theory of real options. In the following years, further articles appeared dealing with the problem of the value-based recording of flexibility. Purpose of the article: The aim of this paper is to empirically test the explanatory variables of Black-Scholes flexibility. A period from 2000 to 2020 is analyzed, as it is assumed that the digital age had already found its way into companies’ business models at that point in time. Methods: In the following, using the approach described above, the value of flexibility from the Black-Scholes call option is determined for the years 2000 to 2020. The sample comprises the STOXX Europe 600. The aim of the model is to test whether the flexibility determined by Black-Scholes can be explained by selected parameters. These include intangibles, sales growth, debt to equity, market to book value, and earnings in the form of profitability Findings & Value added: The results show which variables explain the Black-Scholes flexibility as well as how the Black-Scholes flexibility has evolved over the period studied.

Financial Options

2014 ◽  
pp. 37-57
Author(s):  
Paskalis Glabadanidis
Keyword(s):  
Financial Options
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