Makhankov, V. G. and Aguero-Granados, M. A. (2010): Quantifying Flexibility Real Options Calculus.
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We expose a real options theory as a tool for quantifying the value of the operating flexibility of real assets. Additionally, we have pointed out that this theory is an appropriated methodology for determining optimal operating policies, and provide an example of successful application of our approach to power industries, specifically to valuate the power plant of electricity. In particular by increasing the volatility of prices will eventually lead to higher assets values.
|Item Type:||MPRA Paper|
|Original Title:||Quantifying Flexibility Real Options Calculus|
|Keywords:||real options, Black-Scholes Approach, Wiener processes, stochastic processes, Quantifying Flexibility, volatility|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
G - Financial Economics > G0 - General > G00 - General
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Maximo Aguero|
|Date Deposited:||28 Mar 2011 09:04|
|Last Modified:||31 Jan 2017 15:59|
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