A Stochastic Control Framework for Real Options in Strategic Evaluation

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...

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Bibliographic Details
Main Author: Vollert, Alexander
Format: eBook
Language:English
Published: Boston, MA Birkhäuser 2003, 2003
Edition:1st ed. 2003
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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