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Valutazione di progetti di investimento e-commerce attraverso le opzioni reali

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  • Giovanni Villani

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    Abstract

    The traditional NPV (Net Present Value) method doesn't value opportunely the e-commerce investment projects which are characte\-rized by initial limited cash flows and a high uncertainty. The real options theory instead individuates the strategical opportunities as basic part of the project value. An e-commerce opportunity is more like exchange than simple call option, because there is uncertainty both in the gross project value (underlying asset) and in the investment costs (exercise price). Then we propose to value an american sequential exchange option that takes into account flexibility and sequence properties of e-commerce project investments.

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    Bibliographic Info

    Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 06-2004.

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    Date of creation: May 2004
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    Handle: RePEc:ufg:qdsems:06-2004

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    Keywords: Real Options; Exchange Options; E-commerce investments;

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    1. Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-56, December.
    2. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-24, December.
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    Cited by:
    1. Giovanni Villani, 2004. "Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'," Quaderni DSEMS 10-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.

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