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Using Binomial Decision Trees to Solve Real-Option Valuation Problems

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Cited by:

  1. Kamel, Ahmed & Elwageeh, Mohamed & Bonduà, Stefano & Elkarmoty, Mohamed, 2023. "Evaluation of mining projects subjected to economic uncertainties using the Monte Carlo simulation and the binomial tree method: Case study in a phosphate mine in Egypt," Resources Policy, Elsevier, vol. 80(C).
  2. Tianyang Wang & James S. Dyer, 2010. "Valuing Multifactor Real Options Using an Implied Binomial Tree," Decision Analysis, INFORMS, vol. 7(2), pages 185-195, June.
  3. Kim, Amy M. & Li, Huanan, 2020. "Incorporating the impacts of climate change in transportation infrastructure decision models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 134(C), pages 271-287.
  4. 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.
  5. Guj, Pietro, 2011. "A practical real option methodology for the evaluation of farm-in/out joint venture agreements in mineral exploration," Resources Policy, Elsevier, vol. 36(1), pages 80-90, March.
  6. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
  7. Andrejs Čirjevskis, 2021. "Measuring Synergies of Banks’ Cross-Border Mergers by Real Options: Case Study of Luminor Group AB," JRFM, MDPI, vol. 14(9), pages 1-20, August.
  8. Sebastian Maier, 2021. "Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches," Annals of Operations Research, Springer, vol. 299(1), pages 907-937, April.
  9. David Johnstone, 2017. "Sensitivity of the Discount Rate to the Expected Payoff in Project Valuation," Decision Analysis, INFORMS, vol. 14(2), pages 126-136, June.
  10. Andrejs Čirjevskis, 2022. "Measuring Collaborative Synergies with Advanced Real Options: MNEs’ Sequential Acquisitions of International Ventures," JRFM, MDPI, vol. 16(1), pages 1-18, December.
  11. Sinha, Pankaj & Mudgal, Hemant, 2011. "Valuation of 3G spectrum license in India: A real option approach," MPRA Paper 31281, University Library of Munich, Germany.
  12. James E. Smith, 2005. "Alternative Approaches for Solving Real-Options Problems," Decision Analysis, INFORMS, vol. 2(2), pages 89-102, June.
  13. Marek Durica & Danuse Guttenova & Ludovit Pinda & Lucia Svabova, 2018. "Sustainable Value of Investment in Real Estate: Real Options Approach," Sustainability, MDPI, vol. 10(12), pages 1-18, December.
  14. Jorge Tarifa-Fernández & Ana María Sánchez-Pérez & Salvador Cruz-Rambaud, 2019. "Internet of Things and Their Coming Perspectives: A Real Options Approach," Sustainability, MDPI, vol. 11(11), pages 1-15, June.
  15. Alexandre Caporal & Luiz Eduardo Teixeira Brandão, 2008. "Valuation of a Power Plant with the Real Options Approach," Brazilian Business Review, Fucape Business School, vol. 5(2), pages 103-120, May.
  16. Tianyang Wang & James S. Dyer, 2012. "A Copulas-Based Approach to Modeling Dependence in Decision Trees," Operations Research, INFORMS, vol. 60(1), pages 225-242, February.
  17. Bert M. SADOWSKI & Mathijs VERHEIJEN & Alberto NUCCIARELLI, 2008. "From Experimentation to Citywide Rollout: Real Options for a Municipal WiMax Network in the Netherlands," Communications & Strategies, IDATE, Com&Strat dept., vol. 1(70), pages 101-126, 2nd quart.
  18. E. Brandão, Luiz & Dyer, James S. & Hahn, Warren J., 2012. "Volatility estimation for stochastic project value models," European Journal of Operational Research, Elsevier, vol. 220(3), pages 642-648.
  19. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
  20. L. Robin Keller, 2011. "From the Editor ---Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment," Decision Analysis, INFORMS, vol. 8(3), pages 165-169, September.
  21. Laurent BENZONI & Nicolas GRESSER & Cuong Hung VUONG, 2008. "Invest Today or… Tomorrow? A Real Option Approach to Strategic Development in the French DSL Market," Communications & Strategies, IDATE, Com&Strat dept., vol. 1(70), pages 89-100, 2nd quart.
  22. Fedorov, Semyon & Hagspiel, Verena & Rogstad, Richard W.H. & Haseldonckx, Sophie & Haugsgjerd, Johannes H. & Rønning, Anders, 2024. "Evaluation of tieback developments for marginal oil fields with timing flexibility," Energy Economics, Elsevier, vol. 131(C).
  23. Andrejs Čirjevskis, 2021. "Exploring the Link of Real Options Theory with Dynamic Capabilities Framework in Open Innovation-Type Merger and Acquisition Deals," JRFM, MDPI, vol. 14(4), pages 1-16, April.
  24. Inthavongsa, Inthanongsone & Drebenstedt, Carsten & Bongaerts, Jan & Sontamino, Phongpat, 2016. "Real options decision framework: Strategic operating policies for open pit mine planning," Resources Policy, Elsevier, vol. 47(C), pages 142-153.
  25. Carol Alexander & Xi Chen, 2012. "A General Approach to Real Option Valuation with Applications to Real Estate Investments," ICMA Centre Discussion Papers in Finance icma-dp2012-04, Henley Business School, University of Reading.
  26. William W. Wilson & Lee Vetsch & David W. Bullock, 2022. "Valuing an agricultural technology startup using real options," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 771-785, October.
  27. Warren J. Hahn & James S. Dyer, 2011. "A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes," Decision Analysis, INFORMS, vol. 8(3), pages 220-232, September.
  28. Sungchul Kim & Ronald Giachetti & Sangsung Park, 2018. "Real Options Analysis for Acquisition of New Technology: A Case Study of Korea K2 Tank’s Powerpack," Sustainability, MDPI, vol. 10(11), pages 1-18, October.
  29. Sinha, Pankaj & Sathiyanarayanan, Nataraj, 2012. "Valuation of 2G spectrum in India- A real option approach," MPRA Paper 40470, University Library of Munich, Germany.
  30. Dalbem, Marta Corrêa & Brandão, Luiz Eduardo Teixeira & Gomes, Leonardo Lima, 2014. "Can the regulated market help foster a free market for wind energy in Brazil?," Energy Policy, Elsevier, vol. 66(C), pages 303-311.
  31. Sahoo, Nihar R. & Mohapatra, Pratap K.J. & Mahanty, Biswajit, 2017. "Compliance choice analysis for India's thermal power sector in the market-based energy efficiency regime," Energy Policy, Elsevier, vol. 108(C), pages 624-633.
  32. Yu‐Jui Huang & Xiang Yu, 2021. "Optimal stopping under model ambiguity: A time‐consistent equilibrium approach," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 979-1012, July.
  33. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138, April.
  34. Luiz E. Brandão & James S. Dyer & Warren J. Hahn, 2005. "Response to Comments on Brandão et al. (2005)," Decision Analysis, INFORMS, vol. 2(2), pages 103-109, June.
  35. Pendharkar, Parag C., 2010. "Valuing interdependent multi-stage IT investments: A real options approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 847-859, March.
  36. Dominik Kryzia & Michał Kopacz & Katarzyna Kryzia, 2020. "The Valuation of the Operational Flexibility of the Energy Investment Project Based on a Gas-Fired Power Plant," Energies, MDPI, vol. 13(7), pages 1-16, March.
  37. Schachter, J.A. & Mancarella, P., 2016. "A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 261-271.
  38. B R Cobb & J M Charnes, 2010. "A graphical method for valuing switching options," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(11), pages 1596-1606, November.
  39. Guj, Pietro & Chandra, Atul, 2019. "Comparing different real option valuation approaches as applied to a copper mine," Resources Policy, Elsevier, vol. 61(C), pages 180-189.
  40. Andrejs Čirjevskis, 2022. "Valuing Collaborative Synergies with Real Options Application: From Dynamic Political Capabilities Perspective," JRFM, MDPI, vol. 15(7), pages 1-22, June.
  41. Kyungwon Kim & Jae Wook Song, 2018. "Managing Bubbles in the Korean Real Estate Market: A Real Options Framework," Sustainability, MDPI, vol. 10(8), pages 1-25, August.
  42. Nam Foo & Harry Bloch & Ruhul Salim, 2017. "Assessing the timing of mining investment under tax policy uncertainty: the case of the Asia-Pacific region," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 30(2), pages 117-139, July.
  43. repec:vuw:vuwscr:19098 is not listed on IDEAS
  44. de Braganca, Gabriel Fiuza & Rocha, Katia & Moreira, Rafael Henrique Rodrigues, 2008. "Real Options and the Regulation of Brazilian Fixed-Line Telephone Operators: The Mark-up on the Cost of Capital," Working Paper Series 19098, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  45. Hahn, Warren J. & Dyer, James S., 2008. "Discrete time modeling of mean-reverting stochastic processes for real option valuation," European Journal of Operational Research, Elsevier, vol. 184(2), pages 534-548, January.
  46. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  47. Babak Jafarizadeh & Reidar B. Bratvold, 2019. "Exploration economics: taking opportunities and the risk of double-counting risk," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 323-335, November.
  48. Zhang, Mingming & Liu, Liyun & Wang, Qunwei & Zhou, Dequn, 2020. "Valuing investment decisions of renewable energy projects considering changing volatility," Energy Economics, Elsevier, vol. 92(C).
  49. Lotfi TALEB, 2019. "Real Option Analysis versus DCF Valuation - An Application to a Tunisian Oilfield," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 17-30, March.
  50. Shaton, Katerina, 2015. "Value of Flexibility in Gas Pipeline Investments," Chapters from the Proceedings of the Hamburg International Conference of Logistics (HICL), in: Kersten, Wolfgang & Blecker, Thorsten & Ringle, Christian M. (ed.), Innovations and Strategies for Logistics and Supply Chains: Technologies, Business Models and Risk Management. Proceedings of the Hamburg Internationa, volume 20, pages 333-357, Hamburg University of Technology (TUHH), Institute of Business Logistics and General Management.
  51. Lee, Shun-Chung & Shih, Li-Hsing, 2010. "Renewable energy policy evaluation using real option model -- The case of Taiwan," Energy Economics, Elsevier, vol. 32(Supplemen), pages 67-78, September.
  52. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
  53. L. Robin Keller & Kelly M. Kophazi, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(2), pages 151-154, June.
  54. Felipe Isaza Cuervo & Sergio Botero Boterob, 2014. "Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad," Estudios Gerenciales, Universidad Icesi, November.
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