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Valuation of real projects using option pricing techniques

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  • Dentskevich, P
  • Salkin, G
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    Abstract

    Over the past few years there have been a number of papers concerned with the pricing of options on real assets. The majority of these draw directly from the work done in the financial sectors. This paper discusses some of the deficiencies of traditional discounted cash flow (DCF) techniques before using the basic framework of the binomial option pricing methodology of Cox et al. [2] to derive a clear and consistent technique for the valuation of real hydrocarbon reserves.

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    Bibliographic Info

    Article provided by Elsevier in its journal Omega.

    Volume (Year): 19 (1991)
    Issue (Month): 4 ()
    Pages: 207-222

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    Handle: RePEc:eee:jomega:v:19:y:1991:i:4:p:207-222

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    Keywords: options DCF asset valuation;

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    Cited by:
    1. Bellalah, Mondher & El Farissi, Inass, 2002. "On Real Options and Information Costs," Economics Papers from University Paris Dauphine 123456789/3018, Paris Dauphine University.
    2. Adkins, Roger & Paxson, Dean, 2013. "Deterministic models for premature and postponed replacement," Omega, Elsevier, vol. 41(6), pages 1008-1019.
    3. Tsai, Wen-Hsien & Hung, Shih-Jieh, 2009. "Dynamic pricing and revenue management process in Internet retailing under uncertainty: An integrated real options approach," Omega, Elsevier, vol. 37(2), pages 471-481, April.

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