Real options volatility estimation with correlated inputs

被引：23

作者：

Cobb, Barry R. ^{[1
,2
]}

Charnes, John M. ^{[1
]}

机构：

[1] University of Kansas, School of Business, Lawrence, KS

[2] University of Kansas, School of Business, Lawrence, KS 66045-7585

来源：

Engineering Economist | 2004年 / 49卷 / 02期

关键词：

D O I：

10.1080/00137910490453392

中图分类号：

学科分类号：

摘要：

Real Options Analysis (ROA) provides a framework for valuing reactive and proactive managerial flexibility in investment decisions. Estimating the volatility parameter for a real options model is challenging because there are typically no historical returns for the underlying asset and no current market prices. A previously developed method of using simulation to estimate the volatility parameter for a real investment is demonstrated. The effects of serial price correlation and price-demand cross-correlation on volatility parameters developed with this method are explained. Finally, managerial implications of these findings are discussed. Copyright © Institute of Industrial Engineers.

引用

页码：119 / 137

页数：18

共 9 条

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