Alexander Vollert

A Stochastic Control Framework for Real Options in Strategic Evaluation

• Broschiertes Buch

Produktbeschreibung

The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.

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Produktdetails

• Verlag: Birkhäuser / Birkhäuser Boston / Springer, Berlin
• Artikelnr. des Verlages: 978-1-4612-7401-8
• Softcover reprint of the original 1st ed. 2003
• Seitenzahl: 288
• Erscheinungstermin: 21. Oktober 2011
• Englisch
• Abmessung: 235mm x 155mm x 16mm
• Gewicht: 441g
• ISBN-13: 9781461274018
• ISBN-10: 146127401X
• Artikelnr.: 36143074

Autorenporträt

The mathematical theory of finance, involves a stochastic framework in
which the theory of real options can serve as a tool for practically
oriented decision making in the face of uncertainty. This book
examines a new framework for classifying real options from a
management and a valuation perspective, giving the advantages and
disadvantages of the approach. Impulse control theory and the theory
of optimal stopping are used to construct arbitrarily complex real
option models that can be solved numerically and yield optimal capital
market strategies and values. Various examples demonstrate the
potential of this framework.

Inhaltsangabe

1 Overview.- 1.1 Background and Objectives of the Study.- 1.2 Organization of the Study.- 2 Introduction to Real Options.- 2.1 Basic Idea.- 2.2 Classification of Real Options.- 2.3 Discussion of the Real Options Approach.- 2.4 Conclusions.- 3 Real Options and Stochastic Control.- 3.1 Real Option Interactions and Stochastic Control.- 3.2 Introduction to Impulse Control and Optimal Stopping.- 3.3 Impulse Control Model for Valuing Real Options.- 3.4 Combined Impulse Control and Optimal Stopping.- 4 Valuing Real Options in a Stochastic Control Framework.- 4.1 Equivalence of Stochastic Control and Contingent Claims Analysis.- 4.2 Contingency Structure of Option Interactions.- 4.3 Example: Timing and Intensity of Investment.- 5 Extensions: Competition and Time Delay Effects.- 5.1 Competitive Interaction.- 6 Case Study: Flexibility in the Manufacturing Industry.- 6.1 Real Options and Volume Flexibility.- 6.2 Model.- 6.4 Numerical Analysis.- 6.5 Simulation Results.- 7 Conclusions and Extensions.

Rezensionen

"The book is written in a quite self-contained manner, and gives a nice survey of the results on the subject, old and new. Many graphics are provided along with theoretical illustrations to help explain the materials throughout the book. Numerical analysis as well as simulation are also provided in Chapter 6, which is particularly useful for both academic researchers and real world practitioners. Various examples are provided in the book in order to show the potential of the new framework. ...Could also be used as a reference book or as a source of problems for stochastic controlists." -Mathematical Reviews "This book is devoted to developing both a stochastic control framework that is capable of dealing with complex real option interactions and a graphical decomposition method for real option models which can be transformed into numerical or analytical solution procedures." -Zentralblatt Math "The present book develops a framework of stochastic control for real options. The tools are stochastic impulse control systems leading to partial differential equations and variational inequalities. The book is particularly useful for readers interested in applications in management science." -Monatshefte für Mathematik