Conference proceeding
Financial derivatives and real options: effect of implementation time on real options valuation
Proceedings of the 34th conference on winter simulation, pp.1600-1605
WSC '02
12/08/2002
Abstract
Exercising real options often requires an implementation time, whereas financial options can be exercised instantly. Neglecting the implementation time needed to exercise a real option causes overvaluing that option. We develop lattice and Monte Carlo simulation techniques to value real option problems, where exercising the option requires an implementation time. We present the application of the proposed techniques on a global supply chain network problem with exchange rate uncertainty and value the flexibility to switch between manufacturing options for a firm that has operations in different countries.
Details
- Title: Subtitle
- Financial derivatives and real options: effect of implementation time on real options valuation
- Creators
- Harriet NembhardLeyuan ShiMehmet Aktan
- Resource Type
- Conference proceeding
- Publication Details
- Proceedings of the 34th conference on winter simulation, pp.1600-1605
- Publisher
- Winter Simulation Conference
- Series
- WSC '02
- Language
- English
- Date published
- 12/08/2002
- Academic Unit
- Engineering Administration; Industrial and Systems Engineering
- Record Identifier
- 9984121964702771
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