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  • In this paper, we deal with the real options analysis of selected investment projects. This approach is supplemented and compared to calculations of the net present value (NPV). Two research problems are analyzed: acquisition of the simulation software for the foundry industry in the sense of the expansive options and options on leaving the project in the case of acquisition of the spectrometer. For the option valuation, there were used analytical and numerical methods like the Black-Scholes model, binomial model and Monte Carlo simulations. In the case of binomial pricing model we used modification describing the behavior of the project's cashflow (CF) due to capacity of the company, path-dependent addiction and embedded option barrier. To extend the application of the real options analysis, we propose procedures for sensitivity analysis and option pricing based on Monte Carlo simulations for particular case of stochastic volatility.
  • In this paper, we deal with the real options analysis of selected investment projects. This approach is supplemented and compared to calculations of the net present value (NPV). Two research problems are analyzed: acquisition of the simulation software for the foundry industry in the sense of the expansive options and options on leaving the project in the case of acquisition of the spectrometer. For the option valuation, there were used analytical and numerical methods like the Black-Scholes model, binomial model and Monte Carlo simulations. In the case of binomial pricing model we used modification describing the behavior of the project's cashflow (CF) due to capacity of the company, path-dependent addiction and embedded option barrier. To extend the application of the real options analysis, we propose procedures for sensitivity analysis and option pricing based on Monte Carlo simulations for particular case of stochastic volatility. (en)
Title
  • Real Options Analysis in the Engineering Company Practice
  • Real Options Analysis in the Engineering Company Practice (en)
skos:prefLabel
  • Real Options Analysis in the Engineering Company Practice
  • Real Options Analysis in the Engineering Company Practice (en)
skos:notation
  • RIV/62156489:43110/13:00212253!RIV14-MSM-43110___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...iv/cisloPeriodika
  • 7
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 101595
http://linked.open...ai/riv/idVysledku
  • RIV/62156489:43110/13:00212253
http://linked.open...riv/jazykVysledku
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  • real options analysis; Binomial lattice model; net present value; Monte Carlo simulation (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [7E556E168346]
http://linked.open...i/riv/nazevZdroje
  • Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
http://linked.open...in/vavai/riv/obor
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http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 61
http://linked.open...iv/tvurceVysledku
  • Kříž, Petr
  • Hampel, David
  • Klepáč, Václav
issn
  • 1211-8516
number of pages
http://bibframe.org/vocab/doi
  • 10.11118/actaun201361072303
http://localhost/t...ganizacniJednotka
  • 43110
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