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Autor     Lenos Trigeorgis
Titel    Real Options and Interactions with Financial Flexibility
Zeitschrift    Financial Management
Jahr    1993
Jahrgang    Vol. 22
Nummer    No. 3
Seiten    202-224
URL    https://www.jstor.org/stable/3665939

Literaturverz.   

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Fußnoten    yes
Fragmente    5


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Trigeorgis (1993) points out that early critics (Dean, Hayes and Abernathy, and Hayes and Garvin) also recognized that standard DCF criteria often undervalued investment opportunities, leading to myopic decisions, underinvestment and eventual loss of competitive position, because they either ignored or did not properly value important strategic considerations.

Trigeorgis, L. 1993, “Real Options and Interactions with Financial Flexibility”, Financial Management, vol. 22, no. 3, pp. 202-224.

Garvin [36] recognized that standard discounted cash flow (DCF) criteria often undervalued investment opportunities, leading to myopic decisions, underinvestment and eventual loss of competitive position, because they either ignored or did not properly value important strategic considerations.

36. R. Hayes and D. Garvin. "Managing as if Tomorrow Mattered." Harvard Business Review (May-June 1982). pp. 71-79

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The actual valuation of options in practice has been greatly facilitated by Cox and Ross's (1976) recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Thus, investors are independent of risk attitudes or capital market equilibrium considerations. Such risk-neutral valuation enables present-value discounting of expected future payoffs (with actual probabilities replaced with risk-neutral ones) at the risk-free interest rate, a fundamental characteristic of arbitrage-free price systems involving traded securities. Rubinstein (1976) further showed that standard option pricing formulas can be alternatively derived under risk aversion, and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality, are not really necessary.

Cox, J. and Ross, S. 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics. 145-166 (January 1976).

Rubinstein, M. 1976, "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, pp. 407-425 (Autumn 1976).

The actual valuation of options in practice has been greatly facilitated by Cox and Ross's [26] recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Being independent of risk attitudes or capital market equilibrium considerations, such risk-neutral valuation enables present-value discounting, at the risk-free interest rate, of expected future payoffs (with actual probabilities replaced with risk-neutral ones), a fundamental characteristic of ’arbitrage-free” price systems involving traded securities. Rubinstein [87] further showed that standard option pricing formulas can be alternatively derived under risk aversion. and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality are not really necessary.

26. J. Cox and S. Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics (January 1976). pp. 145-166.

87. M. Rubinstein. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics (Autumn 1976), pp. 407-425.

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The actual source is given on p. 74 and p. 81.

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A series of papers gave a boost to the real options literature by focusing on valuing quantitatively, in many cases, deriving analytic, closed form solutions. A variety of real options scenarios have been analyzed in isolation. There came a series of papers which gave a boost to the real options literature by focusing on valuing quantitatively — in many cases, deriving analytic, closed-form solutions— one type after another of a variety of real options, although each option was typically analyzed in isolation.
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Despite its enormous theoretical contribution, the focus of the earlier literature on valuing individual real options (i.e., one type of option at a time) has nevertheless limited its practical value. [...] Real-life projects are often more complex in that they involve a collection of multiple real options whose values may interact (Trigeorgis 1993). Trigeorgis (1991) presents the valuation of options to defer, abandon, contract or expand investment, and switch use in the context of a generic investment, first with each option in isolation and later in combination. He shows, for example, that the incremental value of an additional option, in the presence of other options, is generally less than its value in isolation and declines as more options are present. More generally, he identifies situations where option interactions can be small or large and negative as well as positive.

Trigeorgis, L. 1991, "A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments," Journal of Financial and Quantitative Analysis, pp. 309-326 (September 1991).

Trigeorgis, L. 1993, “Real Options and Interactions with Financial Flexibility”, Financial Management, vol. 22, no. 3, pp. 202-224.

Despite its enormous theoretical contribution, the focus of the earlier literature on valuing individual real options (i.e., one type of option at a time) has nevertheless limited its practical value. Real-life projects are often more complex in that they involve a collection of multiple real options whose values may interact.

[page 207]

Using a numerical analysis method suitable for valuing complex multi-option investments (Trigeorgis [104]), he presents the valuation of options to defer, abandon, contract or expand investment, and switch use in the context of a generic investment, first with each option in isolation and later in combination. He shows, for example, that the incremental value of an additional option, in the presence of other options, is generally less than its value in isolation and declines as more options are present. More generally, he identifies situations where option interactions can be small or large and negative as well as positive.


104. L. Trigeorgis, "A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments," Journal of Financial and Quantitative Analysis (September 1991), pp. 309-326.

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In the more complex real-life option situations, such as those involving multiple interacting real options, analytic solutions may not exist and one may not even be always able to write down the set of partial differential equations describing the underlying stochastic processes. However, the ability to value such complex option situations has been enhanced by computing technology. In the more complex real-life option situations, such as those involving multiple interacting real options, analytic solutions may not exist and one may not even be always able to write down the set of partial differential equations describing the underlying stochastic processes. The ability to value such complex option situations has been enhanced, however, with various numerical analysis techniques, many of which take advantage of risk-neutral valuation.
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