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Binomial model of real option valuation

Author

Listed:
  • Zofia Wilimowska
  • Małgorzata Łukaniuk

Abstract

Zastosowanie drzew dwumianowych do wyceny opcji rzeczowych umożliwia śledzenie zmian wartości aktywów w odpowiednich okresach czasu i podejmowanie decyzji stosownie do wyników obserwacji. W artykule przedstawiono model dwumianowy w wycenie opcji rzeczowych oraz jego zastosowanie do wyceny opcji rzeczowych na przykładzie opcji odroczenia i opcji zaniechania dla hipotetycznej kopalni. Kopalnia może odraczać rozpoczęcie wydobycia surowca w ciągu trzech najbliższych lat. Źródłem niepewności w analizowanym przykładzie jest cena surowca, a przez to przyszłe przepływy pieniężne.

Suggested Citation

  • Zofia Wilimowska & Małgorzata Łukaniuk, 2005. "Binomial model of real option valuation," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 15(1), pages 71-83.
  • Handle: RePEc:wut:journl:v:1:y:2005:p:71-83
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