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Project options valuation with net present value and decision tree analysis

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  • De Reyck, Bert
  • Degraeve, Zeger
  • Vandenborre, Roger

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  • De Reyck, Bert & Degraeve, Zeger & Vandenborre, Roger, 2008. "Project options valuation with net present value and decision tree analysis," European Journal of Operational Research, Elsevier, vol. 184(1), pages 341-355, January.
    • Handle: RePEc:eee:ejores:v:184:y:2008:i:1:p:341-355
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    References listed on IDEAS

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    1. James E. Smith, 1993. "Moment Methods for Decision Analysis," Management Science, INFORMS, vol. 39(3), pages 340-358, March.
    2. James E. Smith & Kevin F. McCardle, 1999. "Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments," Operations Research, INFORMS, vol. 47(1), pages 1-15, February.
    3. James E. Smith & Robert F. Nau, 1995. "Valuing Risky Projects: Option Pricing Theory and Decision Analysis," Management Science, INFORMS, vol. 41(5), pages 795-816, May.
    4. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    6. Allen C. Miller, III & Thomas R. Rice, 1983. "Discrete Approximations of Probability Distributions," Management Science, INFORMS, vol. 29(3), pages 352-362, March.
    7. Donald L. Keefer, 1994. "Certainty Equivalents for Three-Point Discrete-Distribution Approximations," Management Science, INFORMS, vol. 40(6), pages 760-773, June.
    8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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    Cited by:

    1. Scandizzo, Pasquale L. & Ventura, Marco, 2010. "Sharing risk through concession contracts," European Journal of Operational Research, Elsevier, vol. 207(1), pages 363-370, November.
    2. Creemers, Stefan, 2018. "Moments and distribution of the net present value of a serial project," European Journal of Operational Research, Elsevier, vol. 267(3), pages 835-848.
    3. Alexander, David Richard & Mo, Mengjia & Stent, Alan Fraser, 2012. "Arithmetic Brownian motion and real options," European Journal of Operational Research, Elsevier, vol. 219(1), pages 114-122.
    4. Kevin R. Caskey, 2011. "When Should a Ski Resort Make Snow?," Tourism Economics, , vol. 17(6), pages 1219-1234, December.
    5. Gambaro, Anna Maria & Kyriakou, Ioannis & Fusai, Gianluca, 2020. "General lattice methods for arithmetic Asian options," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1185-1199.
    6. Khansa, Lara & Liginlal, Divakaran, 2009. "Valuing the flexibility of investing in security process innovations," European Journal of Operational Research, Elsevier, vol. 192(1), pages 216-235, January.
    7. Pascale Crama & Bert De Reyck & Zeger Degraeve & Wang Chong, 2007. "Research and Development Project Valuation and Licensing Negotiations at Phytopharm plc," Interfaces, INFORMS, vol. 37(5), pages 472-487, October.
    8. Carol Alexander & Xi Chen, 2014. "Risk-adjusted Valuation of the Real Option to Invest," ICMA Centre Discussion Papers in Finance icma-dp2014-19, Henley Business School, University of Reading.
    9. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
    10. Hardaker, J. Brian & Fleming, Euan M. & Lien, Gudbrand D., 2008. "Risk in Public Policy Making: A Neglected Issue in Australia," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5997, Australian Agricultural and Resource Economics Society.
    11. Wen-Tsung Wu & Chie-Bein Chen, 2017. "Applying ANP in Establishing a Decision-Making Model for the Destination Selection of Large-scale Exhibitions," Business and Economic Research, Macrothink Institute, vol. 7(1), pages 100-113, June.
    12. Pasqual, Joan & Padilla, Emilio & Jadotte, Evans, 2013. "Technical note: Equivalence of different profitability criteria with the net present value," International Journal of Production Economics, Elsevier, vol. 142(1), pages 205-210.
    13. Zapata, Juan C. & Reklaitis, Gintaras V., 2010. "Valuation of project portfolios: An endogenously discounted method," European Journal of Operational Research, Elsevier, vol. 206(3), pages 653-666, November.
    14. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
    15. Zou, Guang & Faber, Michael Havbro & González, Arturo & Banisoleiman, Kian, 2021. "Computing the value of information from periodic testing in holistic decision making under uncertainty," Reliability Engineering and System Safety, Elsevier, vol. 206(C).
    16. Kort, Peter M. & Murto, Pauli & Pawlina, Grzegorz, 2010. "Uncertainty and stepwise investment," European Journal of Operational Research, Elsevier, vol. 202(1), pages 196-203, April.
    17. Trigeorgis, Lenos & Tsekrekos, Andrianos E., 2018. "Real Options in Operations Research: A Review," European Journal of Operational Research, Elsevier, vol. 270(1), pages 1-24.
    18. Valdivia, Miguel & Galan, Jose Luis & Laffarga, Joaquina & Ramos, Juan-Luis, 2020. "A research and technology valuation model for decision analysis in the environmental and renewable energy sectors," Renewable and Sustainable Energy Reviews, Elsevier, vol. 122(C).

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