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University of Illinois – Urbana-Champaign
1.
Chung, JiYoon.
Real options in value appropriation: Theory and evidence from patent strategies.
Degree: PhD, Business Administration, 2018, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/101196 
► This dissertation proposes and shows that real options reasoning is important for understanding firms’ value appropriation strategies in innovation. Despite a large body of research…
(more)
▼ This dissertation proposes and shows that
real options reasoning is important for understanding firms’ value appropriation strategies in innovation. Despite a large body of research on
real options for value creation in innovation, how
real options reasoning can inform firms’ decision-making in value appropriation strategies under uncertainty has received relatively little scrutiny. My dissertation seeks to address this gap in the literature by examining what drives firms to purchase
real options as mechanisms to preserve flexibility in their commitment decisions in patenting strategies.
In my first empirical study (Chapter 2), I seek to examine the patent-secrecy choice as an exemplar of the value of such
real options in appropriability strategies. As a primary hypothesis, I propose that the greater the risk of technology disclosure to rivals due to patenting, the more likely that firms purchase “secrecy options” to retain secrecy of inventions while attempting to patent them. I employ a difference-in-differences research design that leverages the American Inventors Protection Act, a quasi-exogenous change in U.S. patent law that resulted in faster disclosure of technologies pursuing patent protection, and show that firms were more likely to purchase secrecy
options (by filing provisional patent applications) for patents affected by faster disclosure. Further, I find that this effect was quite large, and more pronounced for smaller firms and more novel technologies.
In my second empirical study (Chapter 3), I examine how firms strategically respond to the patent racing incentives created by a first-past-the-post principle of the patent system, and propose that they may do so by capitalizing on
real options – represented by provisional applications – in the patenting process. I employ a difference-in-differences design that leverages the transition of the U.S. patent system from a first-to-invent to a first-to-file system following the America Invents Act, and show that firms were more likely to file provisional applications (as
real options on future patent applications) under a first-to-file system. Furthermore, I show that the magnitude of this effect depended on contingencies such as the firm’s technological dominance, industry concentration and patent effectiveness.
In my third empirical study (Chapter 4), I examine firms’ revealed preference to purchase
real options in patent term extension by leveraging the Agreement on Trade Related Aspects of Intellectual Property Rights, which changed U.S. patent term from a 17-years-from-issuance to a 20-years-from-priority date term. I show that patent prosecution uncertainty increases the value of
real options in patent term extension, consistent with
real options theory. I find that a firm’s purchase of
real options is further related to industry differences, invention value, and the type of patent application (original versus continuing).
My dissertation contributes to the literature in
real options theory as well as appropriability strategies by applying…
Advisors/Committee Members: Somaya, Deepak (advisor), Somaya, Deepak (Committee Chair), Bercovitz, Janet (committee member), Johnson, Timothy C (committee member), Toh, PK (committee member).
Subjects/Keywords: Real options; Appropriability
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APA (6th Edition):
Chung, J. (2018). Real options in value appropriation: Theory and evidence from patent strategies. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/101196
Chicago Manual of Style (16th Edition):
Chung, JiYoon. “Real options in value appropriation: Theory and evidence from patent strategies.” 2018. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed January 17, 2021.
http://hdl.handle.net/2142/101196.
MLA Handbook (7th Edition):
Chung, JiYoon. “Real options in value appropriation: Theory and evidence from patent strategies.” 2018. Web. 17 Jan 2021.
Vancouver:
Chung J. Real options in value appropriation: Theory and evidence from patent strategies. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2018. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/2142/101196.
Council of Science Editors:
Chung J. Real options in value appropriation: Theory and evidence from patent strategies. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2018. Available from: http://hdl.handle.net/2142/101196
Victoria University of Wellington
2.
Hobbs, Cameron.
Uncertainty and Investment Choice in a Real-Options Model of the Firm.
Degree: 2017, Victoria University of Wellington
URL: http://hdl.handle.net/10063/6887
► A firm must consider many factors when adopting an investment policy including, but not limited to the size, scope, and cost of each investment, as…
(more)
▼ A firm must consider many factors when adopting an investment policy including, but not limited to the size, scope, and cost of each investment, as well as the firm's financial condition. The multitude of considerations makes optimal decision-making much more complex than is indicated by standard
real-option models of investment. This thesis investigates the behaviour of a cash-constrained firm that has access to two distinct investment opportunities. Such a firm must not only choose the timing of each investment, but often it must also choose between investments.
When compared with similar one-project models of the past, the introduction of an additional investment opportunity alters the general results in a variety of ways. If one of the projects has a high yield, and therefore a quick payback period, this project can provide benefits over and above its NPV as the cash it generates relaxes future capital constraints for follow-up investment. When the firm is sufficiently constrained, this can lead to an investment policy where high-yield low-NPV projects are implemented instead of lower-yield higher-NPV projects, a direct deviation from the NPV rule. If one of the projects can raise a relatively large proportion of its value as collateral for investment, then the constrained firm will at times accelerate investment in this project in order to free up cash reserves for the other opportunity.
In single-project models, when the firm is able to invest in a low NPV project, the value of additional cash is low. This is because the project will be delayed regardless of the level of cash. However, when the firm has a second investment opportunity, if one project has a low NPV and the other a high NPV then additional cash is beneficial to the firm. The two-project model also provides insights into how resources should be allocated if the constrained firm decides to split and operate the projects as separate firms. When cash is low, more resources should go to the spin-off with the high NPV project in order to give it the best chance of being initiated. However, when cash is high, disproportionately more resources should go to the spin-off with the lower NPV project as investment in the higher NPV project is likely to occur without the help of additional resources.
Advisors/Committee Members: Guthrie, Graeme.
Subjects/Keywords: Uncertainty; Investment choice; Real options
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APA (6th Edition):
Hobbs, C. (2017). Uncertainty and Investment Choice in a Real-Options Model of the Firm. (Masters Thesis). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/6887
Chicago Manual of Style (16th Edition):
Hobbs, Cameron. “Uncertainty and Investment Choice in a Real-Options Model of the Firm.” 2017. Masters Thesis, Victoria University of Wellington. Accessed January 17, 2021.
http://hdl.handle.net/10063/6887.
MLA Handbook (7th Edition):
Hobbs, Cameron. “Uncertainty and Investment Choice in a Real-Options Model of the Firm.” 2017. Web. 17 Jan 2021.
Vancouver:
Hobbs C. Uncertainty and Investment Choice in a Real-Options Model of the Firm. [Internet] [Masters thesis]. Victoria University of Wellington; 2017. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10063/6887.
Council of Science Editors:
Hobbs C. Uncertainty and Investment Choice in a Real-Options Model of the Firm. [Masters Thesis]. Victoria University of Wellington; 2017. Available from: http://hdl.handle.net/10063/6887
Delft University of Technology
3.
Moriakov, N. (author).
An application of Real Options to the valuation of an investment in electrical network.
Degree: 2012, Delft University of Technology
URL: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
► In the thesis it is shown how Real Options can be applied to the valuation of an investment in electrical network. The approach developed is…
(more)
▼ In the thesis it is shown how Real Options can be applied to the valuation of an investment in electrical network. The approach developed is also compared to more classical tools from decision analysis. It is also shown how the valuation algorithm based on real option analysis can be implemented in a practical and usable way.
Risk and Environmental Modelling
Applied mathematics
Electrical Engineering, Mathematics and Computer Science
Subjects/Keywords: Real Options; riks; investment valuation
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APA (6th Edition):
Moriakov, N. (. (2012). An application of Real Options to the valuation of an investment in electrical network. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
Chicago Manual of Style (16th Edition):
Moriakov, N (author). “An application of Real Options to the valuation of an investment in electrical network.” 2012. Masters Thesis, Delft University of Technology. Accessed January 17, 2021.
http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20.
MLA Handbook (7th Edition):
Moriakov, N (author). “An application of Real Options to the valuation of an investment in electrical network.” 2012. Web. 17 Jan 2021.
Vancouver:
Moriakov N(. An application of Real Options to the valuation of an investment in electrical network. [Internet] [Masters thesis]. Delft University of Technology; 2012. [cited 2021 Jan 17].
Available from: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20.
Council of Science Editors:
Moriakov N(. An application of Real Options to the valuation of an investment in electrical network. [Masters Thesis]. Delft University of Technology; 2012. Available from: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
Victoria University of Wellington
4.
Campbell, Ryan John.
Investment-Timing and the Threat of Disruption.
Degree: 2019, Victoria University of Wellington
URL: http://hdl.handle.net/10063/8536
► An incumbent firm needs to determine how to best manage the risk of the arrival of a disruptive technology. The numerous actions available to the…
(more)
▼ An incumbent firm needs to determine how to best manage the risk of the arrival of a disruptive technology. The numerous actions available to the incumbent firm indicates a complex
real-
options model of investment is required. This thesis investigates the behaviour of an incumbent firm, with assets-in-place, when they have access to an investment opportunity. The incumbent must not only choose when to invest in the opportunity, but also the optimal structure with which to compete against a new entrant who also has this investment opportunity.
In order to delay competition in the market the incumbent can elect to permanently abandon the innovative option rather than seek to compete with the new entrant. The assets-in-place contributes significant value to the incumbent and by delaying the competition effect, the incumbent can reduce the cannibalization of assets-in-place. This is despite the fact that the incumbent can attempt to profitably invest in the innovation before the entrant. Clearly the assets-in-place provide a benefit to firm value for the incumbent, but act as a burden for the growth option’s development. Should consumer preferences begin to favour the innovation, then the decision to abandon the growth option loses its value. The incumbent in this instance does not care that they may accelerate the entrant’s investment as they can still profitably preempt the entrant.
In a competitive market, when the incumbent efficiently produces the innovation at no extra cost compared to an independent firm, the incumbent will elect to internalise, rather than spin off, the growth option. When the incumbent produces the innovation at a higher cost, than other market participants, they will spin off the growth option instead of internalising. When consumers favour the innovation, the incumbent becomes indifferent between spinning off and internalising the growth option as the objective functions in both cases converge to maximising the value of the growth option.
Advisors/Committee Members: Guthrie, Graeme.
Subjects/Keywords: Real options; Disruption; Investment
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APA (6th Edition):
Campbell, R. J. (2019). Investment-Timing and the Threat of Disruption. (Masters Thesis). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/8536
Chicago Manual of Style (16th Edition):
Campbell, Ryan John. “Investment-Timing and the Threat of Disruption.” 2019. Masters Thesis, Victoria University of Wellington. Accessed January 17, 2021.
http://hdl.handle.net/10063/8536.
MLA Handbook (7th Edition):
Campbell, Ryan John. “Investment-Timing and the Threat of Disruption.” 2019. Web. 17 Jan 2021.
Vancouver:
Campbell RJ. Investment-Timing and the Threat of Disruption. [Internet] [Masters thesis]. Victoria University of Wellington; 2019. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10063/8536.
Council of Science Editors:
Campbell RJ. Investment-Timing and the Threat of Disruption. [Masters Thesis]. Victoria University of Wellington; 2019. Available from: http://hdl.handle.net/10063/8536
University of Waterloo
5.
Wang, Qian.
Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.
Degree: 2011, University of Waterloo
URL: http://hdl.handle.net/10012/5948
► A risky project evaluation technique called the fuzzy real options analysis is developed to evaluate brownfield redevelopment projects. Other decision making techniques, such as multiple…
(more)
▼ A risky project evaluation technique called the fuzzy real options analysis is developed to evaluate brownfield redevelopment projects. Other decision making techniques, such as multiple criteria analysis and conflict analysis, can be incorporated into fuzzy real options analysis to facilitate negotiations on brownfield redevelopment among decision makers (DMs). The value of managerial flexibility, which is important in negotiations and policy making for brownfield redevelopment, is overlooked when the traditional evaluation method, net present value (NPV), is employed. Findings of this thesis can be used to promote brownfield redevelopment, thereby helping to eliminate environmental threats and enhance regional sustainability.
A brownfield is an abandoned or underutilized property that contains, or may contain, pollutants, hazardous substances, or contaminants from previous usage, typically industrial activity. Brownfields often occur when the local economy transits from industrial to service-oriented seeking more profit. Governments actively promote brownfield redevelopment to eliminate public health threats, help economic transition, and enhance sustainability. However, developers are reluctant to participate in brownfield redevelopment because they often regard these projects as unprofitable when using classic evaluation techniques. On the other hand, case studies show that brownfield redevelopment projects can be good business opportunities for developers. An improved evaluation method is developed in order to estimate the value of a brownfield more accurately.
The main reason that makes the difference between estimates and ''actual'' values lies in the failure of the deterministic project evaluation tool to price the value of uncertainty, which leads to efforts to enhance the decision making under uncertainty. Real options modelling, which extends the ability of option pricing models in real asset evaluation, is employed in risky project evaluation because of its capacity to handle uncertainties. However, brownfield redevelopment projects contain uncertain factors that have no market price, thus violating the assumption of option pricing models for which all risks have been reflected in the market. This problem, called private risk, is addressed by incorporating fuzzy numbers into real options in this thesis, which can be called fuzzy real options. Fuzzy real options are shown to generalize the original model to deal with additional kinds of uncertainties, making them more suitable for project evaluation.
A numerical technique based on hybrid variables is developed to price fuzzy real options. We proposed an extension of Least Squares Monte-Carlo simulation (LSM) that produces numerical evaluations of options. A major advantage of this methodology lies in its ability to produce results regardless of whether or not an analytic solution exists. Tests show that the generalized LSM produces similar results to the analytic valuation of fuzzy real options, when this is possible.
To facilitate…
Subjects/Keywords: Brownfield Redevelopment; Real Options Analysis
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APA (6th Edition):
Wang, Q. (2011). Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5948
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Wang, Qian. “Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.” 2011. Thesis, University of Waterloo. Accessed January 17, 2021.
http://hdl.handle.net/10012/5948.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Wang, Qian. “Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.” 2011. Web. 17 Jan 2021.
Vancouver:
Wang Q. Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. [Internet] [Thesis]. University of Waterloo; 2011. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10012/5948.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Wang Q. Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. [Thesis]. University of Waterloo; 2011. Available from: http://hdl.handle.net/10012/5948
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Rutgers University
6.
Gilani, Wajahat H., 1979-.
Optimal execution of real-options in illiquid and incomplete markets.
Degree: PhD, Management, 2016, Rutgers University
URL: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
► This dissertation, consists of three essays on the problem of quantifying optimal stopping policies for a multi-period investment, where transition probabilities and the investment value…
(more)
▼ This dissertation, consists of three essays on the problem of quantifying optimal stopping policies for a multi-period investment, where transition probabilities and the investment value itself are uncertain. These models are applicable to entrepreneurs in the technology sector and any investment where option based approach can be taken. In the first chapter, I convert the multi-period investment into a partially observable Markov decision process model with bayesian learning. I assume that the core process of the investment value is not observable during the multi-period investment process but can be observed only in its final state if the decision to exploit the investment is made. I assume that the probability distribution between the observed demand levels and the underlying value is known. Since this POMDP model is difficult to solve with dynamic programming because of the size of the possible states, we introduce a heuristic based on marginal profit gains at each state. With the marginal profit heuristic we can calculate the minimum probability threshold of the unobservable state, in a 2-state model, that is the optimal stopping for the process. In the second chapter, I drop the assumption of knowing the probability distribution between the observable demand and unobservable underlying value of the state to the investment, and replace it with a second type of demand level that when observed together with the first demand level imply certain values of the underlying investment. I introduce an algebraic logistic function that has the characteristics of a sigmoid distribution, to serve as an approximation of the probability of the underlying state, based on the observations of the two demand levels but the ratio between them quantify the probability, not a known distribution. Since this model has no defined transition matrix, I develop a best case heuristic, for the 2-state model, that finds a local optimal range, without the use of the Lambert function, and therefore optimal stopping point when a local optimal range does not exist. For the n-state model we define least-case heuristic, similar to the best-case heuristic, except m-local optimal ranges are defined, where m<n and corresponds to the number of states with a positive return. In the third chapter, using the algebraic sigmoid function from the second chapter, I develop a policy approximation problem for the N-state model, where I define an optimal policy that maps the probability of the states of the underlying value of the investments, to an action at each period. In addition, I apply the best-case heuristic from chapter 2 in aggregating the N-state into a M state decision problem.
Advisors/Committee Members: Katehakis, Michael (chair), Boros, Endre (internal member), Alizadeh, Farid (internal member), Papadimitriou, Spiros (internal member), Papakonstantinou, Periklis (internal member), Schreider, Sergei (outside member).
Subjects/Keywords: Real options (Finance); Management accounting
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APA (6th Edition):
Gilani, Wajahat H., 1. (2016). Optimal execution of real-options in illiquid and incomplete markets. (Doctoral Dissertation). Rutgers University. Retrieved from https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
Chicago Manual of Style (16th Edition):
Gilani, Wajahat H., 1979-. “Optimal execution of real-options in illiquid and incomplete markets.” 2016. Doctoral Dissertation, Rutgers University. Accessed January 17, 2021.
https://rucore.libraries.rutgers.edu/rutgers-lib/50521/.
MLA Handbook (7th Edition):
Gilani, Wajahat H., 1979-. “Optimal execution of real-options in illiquid and incomplete markets.” 2016. Web. 17 Jan 2021.
Vancouver:
Gilani, Wajahat H. 1. Optimal execution of real-options in illiquid and incomplete markets. [Internet] [Doctoral dissertation]. Rutgers University; 2016. [cited 2021 Jan 17].
Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/.
Council of Science Editors:
Gilani, Wajahat H. 1. Optimal execution of real-options in illiquid and incomplete markets. [Doctoral Dissertation]. Rutgers University; 2016. Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
7.
Attelan, Stéfanie.
Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.
Degree: Docteur es, Sciences économiques - EM2C, 2014, Cergy-Pontoise
URL: http://www.theses.fr/2014CERG0731
► Dans la mesure où les environnements économiques et financiers sont régis par de nombreux aléas, la prise de décision en matière d'investissement immobilier s'avère de…
(more)
▼ Dans la mesure où les environnements économiques et financiers sont régis par de nombreux aléas, la prise de décision en matière d'investissement immobilier s'avère de plus en plus complexe.Le premier chapitre commence par présenter les méthodes traditionnelles d'évaluation des choix d'investissement dans le secteur immobilier. La notion d'option réelle est ensuite introduite au travers du lien entre les options réelles et les options financières. Le deuxième chapitre s'intéresse à différents cas de recours aux options réelles dans le secteur immobilier en faisant systématiquement référence à la littérature qui leur est consacrée. Le troisième chapitre présente des analyses de mesure de la performance et de dynamique des rendements et de volatilité sur les marchés européens et américains.
As the economic and financial environments are governed by many uncertainties, decision-making on real estate investments is becoming increasingly complex.The first chapter begins by presenting the traditional methods to value real estate investments. The concept of real options is then introduced through the link between real options and financial options. The second chapter focuses on different use cases of real options in the real estate industry by referring to the literature devoted to them. The third chapter presents a performance measurement analysis and a study of the dynamics of returns and volatility in European and American markets.
Advisors/Committee Members: Prigent, Jean-Luc (thesis director), Lévyne, Olivier (thesis director).
Subjects/Keywords: Options réelles; Immobilier; Valorisation; Real options; Real estate; Valuation
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APA (6th Edition):
Attelan, S. (2014). Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. (Doctoral Dissertation). Cergy-Pontoise. Retrieved from http://www.theses.fr/2014CERG0731
Chicago Manual of Style (16th Edition):
Attelan, Stéfanie. “Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.” 2014. Doctoral Dissertation, Cergy-Pontoise. Accessed January 17, 2021.
http://www.theses.fr/2014CERG0731.
MLA Handbook (7th Edition):
Attelan, Stéfanie. “Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.” 2014. Web. 17 Jan 2021.
Vancouver:
Attelan S. Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. [Internet] [Doctoral dissertation]. Cergy-Pontoise; 2014. [cited 2021 Jan 17].
Available from: http://www.theses.fr/2014CERG0731.
Council of Science Editors:
Attelan S. Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. [Doctoral Dissertation]. Cergy-Pontoise; 2014. Available from: http://www.theses.fr/2014CERG0731
University of Newcastle
8.
Brady, Nathan D.
An analysis of the effects of risk biases on real options pricing.
Degree: DBA, 2015, University of Newcastle
URL: http://hdl.handle.net/1959.13/1063061
► Research Doctorate - Doctor of Business Administration (DBA)
Over the past two decades, a significant amount of academic knowledge has been created on how to…
(more)
▼ Research Doctorate - Doctor of Business Administration (DBA)
Over the past two decades, a significant amount of academic knowledge has been created on how to apply real options analysis to business investments. Despite the many apparent advantages of using real options to value projects, the approach has not found favor with managers in practice. Some critics claim that the method is untrustworthy and might encourage too much risk taking. This dissertation provides an exploration of risk biases, viewed through the lens of prospect theory, as a potential cause for the mistrust toward real options. Using evidence from a survey of 67 business school students, the results showed that participants generally evaluated options in a manner consistent with prospect theory’s S-shaped utility function. This research agrees with prior findings that buyers will price options at a discount and adds to the literature by confirming a new hypotheses that call options are consistently discounted more than put options of similar expected value. Additionally, evidence is provided that, in agreement with prospect theory, small probabilities cause distortions in options pricing. In general, pricing biases were found to be dependent on the framing of the scenario as either a gain or a loss and whether or not there were small probabilities involved. These findings bring into question the applicability of standard risk measures, such as discount rates derived from opportunity costs, to options scenarios.
Advisors/Committee Members: University of Newcastle. Faculty of Business & Law, Newcastle Business School.
Subjects/Keywords: real options; prospect theory; expected utility; options pricing; risk aversion
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APA ·
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APA (6th Edition):
Brady, N. D. (2015). An analysis of the effects of risk biases on real options pricing. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/1063061
Chicago Manual of Style (16th Edition):
Brady, Nathan D. “An analysis of the effects of risk biases on real options pricing.” 2015. Doctoral Dissertation, University of Newcastle. Accessed January 17, 2021.
http://hdl.handle.net/1959.13/1063061.
MLA Handbook (7th Edition):
Brady, Nathan D. “An analysis of the effects of risk biases on real options pricing.” 2015. Web. 17 Jan 2021.
Vancouver:
Brady ND. An analysis of the effects of risk biases on real options pricing. [Internet] [Doctoral dissertation]. University of Newcastle; 2015. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/1959.13/1063061.
Council of Science Editors:
Brady ND. An analysis of the effects of risk biases on real options pricing. [Doctoral Dissertation]. University of Newcastle; 2015. Available from: http://hdl.handle.net/1959.13/1063061
University of Southern California
9.
Wang, Tong.
Three essays in derivatives, trading and liquidity.
Degree: PhD, Business Administration, 2013, University of Southern California
URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
► The work in Chapter 1 shows that hedging by option writers has a large and significant destabilizing effect on the stock market. We demonstrate that…
(more)
▼ The work in Chapter 1 shows that hedging by option
writers has a large and significant destabilizing effect on the
stock market. We demonstrate that weekly return reversals are
significantly stronger surrounding option expiration days. Our
evidence suggests that the hedging pressure that drives weekly
reversals mainly comes from index
options rather than individual
stock
options. We find in addition that index option hedging
appears to have an impact on the aggregate market, and that the
strength this aggregate impact is highly related to the degree of
cross-sectional reversal. We also find that index option prices
tend to be high before option expiration, suggesting that option
hedgers are attempting to unwind written positions that might be
difficult to hedge due to price impact on the underlying stocks.
Collectively, the evidence we present strongly supports the
conclusion that option trading causes significant price
displacements in stocks and in the market as a whole. ❧ Chapter 2
investigates the relationship between the slope of the implied
volatility (IV) term structure and future option returns. A
strategy that buys straddles with high IV slopes and short sells
straddles with low IV slopes returns seven percent per month, with
an annualized Sharpe ratio just less than two. Surprisingly, we
find no relation between IV slopes and the returns on longer-term
straddles, even though the correlation between the returns on
portfolios of short-term and long-term straddles generally exceeds
0.9. Our evidence suggests that the return predictability we
document is unrelated to systematic risk premia. We believe that
our results point to two possible explanations. One is that
temporary hedging pressure pushes option prices away from efficient
levels. The other is that short-term
options are more likely to be
mispriced by noise traders than long-term
options. ❧ Chapter 3
shows that the positive correlation between stock-level trading
activity and market betas remains strong even using the Dimson
(1979} method to correct for non-synchronous trading. This finding
suggests that controlling for non-synchronous trading alone does
not provide unbiased inferences regarding the effects of events on
market betas. Instead, it is necessary to control for changes in
trading activity explicitly. We show that controlling for trading
activity significantly changes the estimated impact of seasoned
equity offerings and share repurchases on market
betas.
Advisors/Committee Members: Jones, Christopher S. (Committee Chair), Ogneva, Maria (Committee Member), Stathopoulos, Andreas (Committee Member), Solomon, David (Committee Member), Zapatero, Fernando (Committee Member).
Subjects/Keywords: liquidity; options; real options; seasoned equity offerings; term structure; trading
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APA (6th Edition):
Wang, T. (2013). Three essays in derivatives, trading and liquidity. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
Chicago Manual of Style (16th Edition):
Wang, Tong. “Three essays in derivatives, trading and liquidity.” 2013. Doctoral Dissertation, University of Southern California. Accessed January 17, 2021.
http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459.
MLA Handbook (7th Edition):
Wang, Tong. “Three essays in derivatives, trading and liquidity.” 2013. Web. 17 Jan 2021.
Vancouver:
Wang T. Three essays in derivatives, trading and liquidity. [Internet] [Doctoral dissertation]. University of Southern California; 2013. [cited 2021 Jan 17].
Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459.
Council of Science Editors:
Wang T. Three essays in derivatives, trading and liquidity. [Doctoral Dissertation]. University of Southern California; 2013. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
NSYSU
10.
Chen, Hsing-Lin.
A Study on High-Tech Innovation by Real Options Approach.
Degree: Master, Business Management, 2014, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
► High-tech semiconductor industry has several important characteristics: high capital investment, technology intensive, rapid change and high competition, compared with traditional industry. Company cannot follow old…
(more)
▼ High-tech semiconductor industry has several important characteristics: high capital investment, technology intensive, rapid change and high competition, compared with traditional industry. Company cannot follow old rules in such high-risk/high-payoff industry. For sustainable operation, company has to innovate in order to increase its competitive advantage. Innovation is about finding a getter way of doing something, no matter products, processes, services, technologies or any ideas about organization or strategy.
However, we are in a rapid changing and competitive environment and limited resources. It is important to integrate all information and resources in limited time and resources to make right choice and keep the decision flexible in an innovation activities. We need an effective method for innovation management.
In this study, we use the concept of â
Real optionsâ theory to deliver an innovation management method with dynamic which keeps the decision flexible. We use several cases to analyze and illustrate that the method of innovation management can be used on high-risk/high-payoff innovation activities of high-tech semiconductor industry. The results can make companies more advantageous and competitive.
Advisors/Committee Members: Huei-Mei Liang (committee member), Rui-Hsin Kao (chair), Jen-Tsung Huang (chair).
Subjects/Keywords: Innovation management; Semiconductor; High-tech; Real options
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APA ·
Chicago ·
MLA ·
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to Zotero / EndNote / Reference
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APA (6th Edition):
Chen, H. (2014). A Study on High-Tech Innovation by Real Options Approach. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Chen, Hsing-Lin. “A Study on High-Tech Innovation by Real Options Approach.” 2014. Thesis, NSYSU. Accessed January 17, 2021.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Chen, Hsing-Lin. “A Study on High-Tech Innovation by Real Options Approach.” 2014. Web. 17 Jan 2021.
Vancouver:
Chen H. A Study on High-Tech Innovation by Real Options Approach. [Internet] [Thesis]. NSYSU; 2014. [cited 2021 Jan 17].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Chen H. A Study on High-Tech Innovation by Real Options Approach. [Thesis]. NSYSU; 2014. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Georgia
11.
Womack, Kiplan Shea.
An empirical approach to measuring real options embedded within urban land values.
Degree: 2014, University of Georgia
URL: http://hdl.handle.net/10724/28167
► The central and unifying theme of this dissertation is the value of urban land and its effect on investments in durable capital. More specifically, because…
(more)
▼ The central and unifying theme of this dissertation is the value of urban land and its effect on investments in durable capital. More specifically, because structures are expensive to build, have an extensive construction time, and are long
lasting, investments in durable capital entail a significant degree of uncertainty and irreversibility. Therefore, models which explicitly account for these factors directly in the estimation process may contribute to a refined measurement and better
understanding of urban land values. One such model is the real options framework. Through the application of the principles of financial option pricing, this framework implies that land can be valued as the sum of the value of the land in its current use
plus the value of an option to change the land to its highest and best use. Accordingly, the first chapter in this dissertation examines the estimation of the redevelopment option and explores the spatial relationship between real options and land
values. Attaining the highest and best use of improved urban land often entails redevelopment of the physical capital. When a structure has depreciated to the point that the value of the existing bundle of structure and land, plus demolition costs, is
less than or equal to the price of vacant land, then redevelopment occurs through teardowns (in which the existing property is demolished and a new structure is built in its place). Other times, it might not be economically (or legally) feasible to
remove the structure, so partial redevelopment occurs through renovations (where the existing structure remains but the interior and/or exterior is substantially remodeled). Accordingly, the second chapter in this dissertation studies the determinants of
the mutual exclusive decision to redevelop physical capital either in whole (teardowns) or in part (renovations). Overall, results from this dissertation contribute to a better understanding of urban land values by providing evidence of the true
complexity of the urban spatial structure, providing new evidence that housing purchased for both teardowns and major renovations is valued only for the underlying land, and by capturing the spatial dynamics of real options as capitalized in urban land
values.
Subjects/Keywords: Real options; Land values; Redevelopment; Renovations
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APA ·
Chicago ·
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CSE |
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Womack, K. S. (2014). An empirical approach to measuring real options embedded within urban land values. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/28167
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Womack, Kiplan Shea. “An empirical approach to measuring real options embedded within urban land values.” 2014. Thesis, University of Georgia. Accessed January 17, 2021.
http://hdl.handle.net/10724/28167.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Womack, Kiplan Shea. “An empirical approach to measuring real options embedded within urban land values.” 2014. Web. 17 Jan 2021.
Vancouver:
Womack KS. An empirical approach to measuring real options embedded within urban land values. [Internet] [Thesis]. University of Georgia; 2014. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10724/28167.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Womack KS. An empirical approach to measuring real options embedded within urban land values. [Thesis]. University of Georgia; 2014. Available from: http://hdl.handle.net/10724/28167
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Waterloo
12.
Chen, Cheng.
Impact of a Safety Valve in an Emission Trading System: A Real Options Approach.
Degree: 2013, University of Waterloo
URL: http://hdl.handle.net/10012/7546
► For more than 20 years, cap-and-trade system has served as an efficient market-based mechanism to reduce emission of air pollutants such as sulfur dioxide and…
(more)
▼ For more than 20 years, cap-and-trade system has served as an efficient market-based mechanism to reduce emission of air pollutants such as sulfur dioxide and greenhouse gas. In this system, a limited amount of emission allowances are traded between affected firms with no price restriction. A potential problem arises when market demand of the allowances significantly surpasses market supply: allowance prices could boom to unexpected high level that jeopardizes the overall economy. Safety valve, an innovative mechanism, sets an upper limit of the allowance price and eliminates the risk of allowance price spike. Yet individual firms would bear less incentive to undertake substantial investment in costly emission reduction equipment. This paper analyzes how firms would change their investment strategy when we add a safety valve to a cap-and trade system.
Since the allowance price evolution process is time dependent and does not follow the standard Geometric Brownian Motion, there is no analytical solution to this problem, hence we base our analysis on numerical analysis. Using a lattice model, we conclude that a safety valve would undoubtedly delay firms’ actual investment in emission reduction equipment. We also conduct sensitivity tests to analyze how would a firm’s investment strategy respond to change in some model parameters.
Subjects/Keywords: real options; emission trading; safety valve
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APA ·
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MLA ·
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Chen, C. (2013). Impact of a Safety Valve in an Emission Trading System: A Real Options Approach. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/7546
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Chen, Cheng. “Impact of a Safety Valve in an Emission Trading System: A Real Options Approach.” 2013. Thesis, University of Waterloo. Accessed January 17, 2021.
http://hdl.handle.net/10012/7546.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Chen, Cheng. “Impact of a Safety Valve in an Emission Trading System: A Real Options Approach.” 2013. Web. 17 Jan 2021.
Vancouver:
Chen C. Impact of a Safety Valve in an Emission Trading System: A Real Options Approach. [Internet] [Thesis]. University of Waterloo; 2013. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10012/7546.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Chen C. Impact of a Safety Valve in an Emission Trading System: A Real Options Approach. [Thesis]. University of Waterloo; 2013. Available from: http://hdl.handle.net/10012/7546
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Newcastle
13.
Leary, Shaun.
The application of a real options valuation methodology to a coal mining project in New South Wales, Australia.
Degree: 2013, University of Newcastle
URL: http://hdl.handle.net/1959.13/1037377
► Professional Doctorate - Doctor of Business Administration (DBA)
This study uses a real options approach to value an operating coal mine in the Hunter Valley,…
(more)
▼ Professional Doctorate - Doctor of Business Administration (DBA)
This study uses a real options approach to value an operating coal mine in the Hunter Valley, New South Wales, Australia. It then compares the results with a traditional discounted cash flow (DCF) analysis, finding that not only is the methodology presented viable, but the relative simplicity of its implementation using binomial lattices makes it a realistic and feasible alternative to traditional DCF analysis.
Advisors/Committee Members: University of Newcastle. Faculty of Business & Law, Newcastle Business School.
Subjects/Keywords: coal mining; real options; NPV; valuation
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APA ·
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MLA ·
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CSE |
Export
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Manager
APA (6th Edition):
Leary, S. (2013). The application of a real options valuation methodology to a coal mining project in New South Wales, Australia. (Thesis). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/1037377
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Leary, Shaun. “The application of a real options valuation methodology to a coal mining project in New South Wales, Australia.” 2013. Thesis, University of Newcastle. Accessed January 17, 2021.
http://hdl.handle.net/1959.13/1037377.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Leary, Shaun. “The application of a real options valuation methodology to a coal mining project in New South Wales, Australia.” 2013. Web. 17 Jan 2021.
Vancouver:
Leary S. The application of a real options valuation methodology to a coal mining project in New South Wales, Australia. [Internet] [Thesis]. University of Newcastle; 2013. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/1959.13/1037377.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Leary S. The application of a real options valuation methodology to a coal mining project in New South Wales, Australia. [Thesis]. University of Newcastle; 2013. Available from: http://hdl.handle.net/1959.13/1037377
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Manchester
14.
Biesek, Guilherme.
Infrastructure design for evolvability : theory and methods.
Degree: PhD, 2013, University of Manchester
URL: https://www.research.manchester.ac.uk/portal/en/theses/infrastructure-design-for-evolvability-theory-and-methods(942e3e8b-8734-4de0-9a2f-68bbb566dfa2).html
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576890
► The development of new infrastructure invariably requires massive capital investments, take many years to design and deliver, and are expected to operate for several decades.…
(more)
▼ The development of new infrastructure invariably requires massive capital investments, take many years to design and deliver, and are expected to operate for several decades. During delivery and operational lifetime, the functional requirements are likely to change. To make the assets economically adaptable to foreseeable changes, sizeable investments in design flexibility may be required upfront. Under uncertainty about the future and tight budgets, multi-stakeholder teams must trade-off additional investments in flexibility with more affordable investments in rigid designs at risk of costly adaptation. How to help project teams bridge their divergences and coalesce their views of the world into a project strategy is the core question at the heart of this research. After reviewing the limitations of current practice and theory in the management of capital projects, this study turns to real options reasoning. By definition, investments in design flexibility can be equated with buying options: if the future resolves favourably, the options can be exercised to adapt the design economically. To advance theory and practice on capital design for evolvability, this study combines case-based with experimental work. First, an exploratory study reveals that, despite using options thinking, project teams find real options mathematical models inadequate to support mundane design decisions. A subsequent study on design practices at Network Rail shows the difficulties of designing for evolvability become amplified with multiple stakeholders. With asymmetry in capabilities, knowledge, and power to influence decisions, multi-stakeholder teams systematically resort to a combination of informal options thinking and ‘money talks’ to resolve concept design. Tensions flare up whenever stakeholders demanding investments in design flexibility cannot fund them. These findings suggest that a formal procedure to design for evolvability can offer a superior approach at front-end strategizing. To test this proposition, this research develops an original proof-of-principle of a formal design for evolvability framing that cross-fertilizes literature on project risk management and real options theory with insights from the fieldwork. It also develops a two-group experiment – grounded on fine-grained empirical data from a real-world rail station project – to compare the performance of the experimental and control groups in terms of effectiveness, efficiency, and satisfaction. The results show that a formal design for evolvability framing can improve front-end strategizing. As project teams become more efficient, they have more time to effectively resolve the design for evolvability strategy. Importantly, teams are unlikely to reject attempts to formalize the decision-making process. The study also shows that a formal design for evolvability strategy can improve the accountability of decision-makers for investments in design flexibility. Final considerations discuss the generalizability and limitations of these insights, and future directions.
Subjects/Keywords: 338.4; real options; design for evolvability; experiment
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APA ·
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APA (6th Edition):
Biesek, G. (2013). Infrastructure design for evolvability : theory and methods. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/infrastructure-design-for-evolvability-theory-and-methods(942e3e8b-8734-4de0-9a2f-68bbb566dfa2).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576890
Chicago Manual of Style (16th Edition):
Biesek, Guilherme. “Infrastructure design for evolvability : theory and methods.” 2013. Doctoral Dissertation, University of Manchester. Accessed January 17, 2021.
https://www.research.manchester.ac.uk/portal/en/theses/infrastructure-design-for-evolvability-theory-and-methods(942e3e8b-8734-4de0-9a2f-68bbb566dfa2).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576890.
MLA Handbook (7th Edition):
Biesek, Guilherme. “Infrastructure design for evolvability : theory and methods.” 2013. Web. 17 Jan 2021.
Vancouver:
Biesek G. Infrastructure design for evolvability : theory and methods. [Internet] [Doctoral dissertation]. University of Manchester; 2013. [cited 2021 Jan 17].
Available from: https://www.research.manchester.ac.uk/portal/en/theses/infrastructure-design-for-evolvability-theory-and-methods(942e3e8b-8734-4de0-9a2f-68bbb566dfa2).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576890.
Council of Science Editors:
Biesek G. Infrastructure design for evolvability : theory and methods. [Doctoral Dissertation]. University of Manchester; 2013. Available from: https://www.research.manchester.ac.uk/portal/en/theses/infrastructure-design-for-evolvability-theory-and-methods(942e3e8b-8734-4de0-9a2f-68bbb566dfa2).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576890
Victoria University of Wellington
15.
Chen, Zonghao.
An investigation of private public partnerships using real options analysis.
Degree: 2014, Victoria University of Wellington
URL: http://hdl.handle.net/10063/3441
► This thesis develops a model that investigates aspects of New Zealand’s largest public-private partnership project, the rollout of Ultra Fast Broadband. The model features four…
(more)
▼ This thesis develops a model that investigates aspects of New Zealand’s largest public-private partnership project, the rollout of Ultra Fast Broadband. The model features four cities with different demand and construction-cost characteristics. It is used to study the different choices of the private party (Chorus) and the public party (Crown Fibre Holdings (CFH)). Using a
real options approach, we identify two sorts of potential conflicts between the two parties: a timing conflict about the number of cities the two parties would like to develop in each period and a sequencing conflict about the order in which the UFB network is rolled out in different cities. Inspired by the incomplete contracting and information asymmetry literatures, we introduce several incentive schemes (including four subsidy schemes and two fine schemes) that help manage the possible conflicts. We compare both their ability to reduce the conflicts and their sensitivity to the model’s underlying parameters. Overall, there are four main findings. First, the magnitude of the conflict is a non-monotonic function of the inter-city demand differences and the inter-city construction-cost differences; it is an increasing function of the ratio of consumer surplus to producer surplus and of demand volatility. Second, a demand-dependent lump sum subsidy has the best performance among all included incentive schemes in controlling the possible conflicts. Third, the conflict level becomes quite sensitive to the subsidy scheme in two cases. A) When either the inter-city demand differences or the inter-city construction-cost differences turn out to be modest; B) When either the ratio of consumer surplus to producer surplus or demand volatility turns out to be large. The above result may provide some suggestions in managing the optimal subsidy. Last but not least, the requirement that Chorus is willing to participate in the partnership means that the fine schemes are generally outperformed by the subsidy schemes. Relating our findings to the undertaking UFB project, we provide CFH with several practical suggestions that may improve its management of possible conflicts.
Advisors/Committee Members: Guthrie, Graeme.
Subjects/Keywords: Real options analysis; Private public partnership; Conflict
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APA ·
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MLA ·
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Chen, Z. (2014). An investigation of private public partnerships using real options analysis. (Masters Thesis). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/3441
Chicago Manual of Style (16th Edition):
Chen, Zonghao. “An investigation of private public partnerships using real options analysis.” 2014. Masters Thesis, Victoria University of Wellington. Accessed January 17, 2021.
http://hdl.handle.net/10063/3441.
MLA Handbook (7th Edition):
Chen, Zonghao. “An investigation of private public partnerships using real options analysis.” 2014. Web. 17 Jan 2021.
Vancouver:
Chen Z. An investigation of private public partnerships using real options analysis. [Internet] [Masters thesis]. Victoria University of Wellington; 2014. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10063/3441.
Council of Science Editors:
Chen Z. An investigation of private public partnerships using real options analysis. [Masters Thesis]. Victoria University of Wellington; 2014. Available from: http://hdl.handle.net/10063/3441
University of Waikato
16.
Tee, James Seng Khien.
Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
.
Degree: 2011, University of Waikato
URL: http://hdl.handle.net/10289/5815
► In 2008, the New Zealand government passed climate change legislation called the New Zealand Emissions Trading Scheme (NZETS), designed to create a carbon price in…
(more)
▼ In 2008, the New Zealand government passed climate change legislation called the New Zealand Emissions Trading Scheme (NZETS), designed to create a carbon price in the economy. Under the NZETS, new forests planted on and after 1st January 1990 (known as post-1989 forests) are eligible to earn carbon credits and sell them domestically and internationally, with a condition that the credits will have to be repaid back upon harvest of the forests. The amount of credits that have to be surrendered is proportionate to the extent that carbon stocks decrease in the forest land. This research explores the effects of the NZETS on new post-1989 forests. The NPV/LEV and the
Real Options valuation methods are respectively employed to analyze fixed harvest and flexible harvest forest management decisions. This approach is applied to study the cases of timber-only forestry (i.e. no NZETS) and carbon forestry (i.e. with NZETS). The major advance of this research is the development of a double Random Variable
Real Options methodology that incorporates both stochastic timber and stochastic carbon prices into the calculation of the bareland forestry investment opportunity under the NZETS. Through the work of this thesis, it is shown that the NZETS increases the valuation of bareland on which radiata pine is to be planted with a single rotation or a perpetual series of rotations, especially for the case of flexible harvest forest management. The NZETS will very likely lengthen the rotation age of forests and increase forest carbon sequestration, which contributes positively towards climate change mitigation in New Zealand. The
Real Options valuation method can generate optimal harvest price thresholds that help forest owners to decide when to harvest. This thesis concludes with a scenario analysis of potential implications of lengthening the forest rotation age on carbon stock management in New Zealand.
Advisors/Committee Members: Scarpa, Riccardo (advisor), Marsh, Dan (advisor).
Subjects/Keywords: climate change;
carbon forestry;
real options;
valuation
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APA ·
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MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Tee, J. S. K. (2011). Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
. (Doctoral Dissertation). University of Waikato. Retrieved from http://hdl.handle.net/10289/5815
Chicago Manual of Style (16th Edition):
Tee, James Seng Khien. “Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
.” 2011. Doctoral Dissertation, University of Waikato. Accessed January 17, 2021.
http://hdl.handle.net/10289/5815.
MLA Handbook (7th Edition):
Tee, James Seng Khien. “Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
.” 2011. Web. 17 Jan 2021.
Vancouver:
Tee JSK. Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
. [Internet] [Doctoral dissertation]. University of Waikato; 2011. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10289/5815.
Council of Science Editors:
Tee JSK. Real Options Analysis of Carbon Forestry Under the New Zealand Emissions Trading Scheme
. [Doctoral Dissertation]. University of Waikato; 2011. Available from: http://hdl.handle.net/10289/5815
Victoria University of Wellington
17.
Yadipur, Mahdi.
Essays in Risk Management.
Degree: 2020, Victoria University of Wellington
URL: http://hdl.handle.net/10063/9253
► This thesis consists of five chapters that examines risk and uncertainty within two frameworks: foreign exchange market and real options. The first chapter is a…
(more)
▼ This thesis consists of five chapters that examines risk and uncertainty within two frameworks: foreign exchange market and
real options. The first chapter is a preliminary part that overviews the structure of thesis. In the second chapter, I examine the impact of scheduled macroeconomic announcements on realised variance in the Canadian dollar/US dollar foreign exchange market. Information shocks as a whole are made up of public information shocks and private information shocks. I measure the public information shocks from the analyst forecast surprise and the private information shocks from volatility sensitivity to liquidity variables. I find that the realized variance is driven mainly by the latter rather than the former. However, my results for the most important announcements are not significant, which might be due to these being well-analysed publicly. Spread, as a proxy of private information shocks, is the most important liquidity measure, showing a significant increase around the arrival of announcements. My results are robust to joint effects of liquidity variables, considering announcements throughout the day (times other than 8:30 announcement), alternative measures of volatility (absolute return and modified absolute return), evaluation of announcements for US and Canada separately, examine the impact of surprise in model, and the economic classification of announcements. In the third chapter, I aim to evaluate risk and uncertainty using
real options technique. I develop a framework to evaluate representative agents’ behaviour in a
real options switching framework. I set up three models with revertible switching process under uncertainty and solve these using the alternating direction implicit algorithm. The models break down into: cash-cost model, cash-time model, and projection model. The cash-cost model captures the cash expenses of switching whereas the cash-time model not only captures the cash cost but also the exact time cost, which is critical in horticulture. The projection model presents an approximation of cash-time model that has less computational complexity. The results of my sensitivity analyses indicate that increases in cost, time, volatility, drift, and discount rate have negative impacts on the switch frequency. If the correlation between two crops is positive, it has negative impacts on switch frequency, otherwise it has positive impacts. Differences between the models are more pronounced over longer periods. In the fourth and fifth chapters, I extend the cash-time model from chapter three to evaluate orchardists’ behaviour in the Hawke’s Bay region. Chapter four examines the dataset thoroughly and provide a statistical review of orchards that will be modeled in chapter five. Orchardists have the incentive to switch from one type of apple to another as the apple profits change. In my model, orchardists have the option to carry on with the existing apple trees or to switch to competing apple types by uprooting the existing apple trees and planting new ones or grafting on the existing…
Advisors/Committee Members: Daglish, Toby, Saglam, Yigit.
Subjects/Keywords: Macroeconomic Announcements; Real Options; Stochastic Process
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APA (6th Edition):
Yadipur, M. (2020). Essays in Risk Management. (Doctoral Dissertation). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/9253
Chicago Manual of Style (16th Edition):
Yadipur, Mahdi. “Essays in Risk Management.” 2020. Doctoral Dissertation, Victoria University of Wellington. Accessed January 17, 2021.
http://hdl.handle.net/10063/9253.
MLA Handbook (7th Edition):
Yadipur, Mahdi. “Essays in Risk Management.” 2020. Web. 17 Jan 2021.
Vancouver:
Yadipur M. Essays in Risk Management. [Internet] [Doctoral dissertation]. Victoria University of Wellington; 2020. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/10063/9253.
Council of Science Editors:
Yadipur M. Essays in Risk Management. [Doctoral Dissertation]. Victoria University of Wellington; 2020. Available from: http://hdl.handle.net/10063/9253
University of Manchester
18.
Al-Foraih, Mishari Najeeb.
Applications in optimization and investment lag problem.
Degree: PhD, 2015, University of Manchester
URL: https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494
► This thesis studies two optimization problems: the optimization of a staffing policy assuming non stationary Poisson demand, and exponential travel and job times, and the…
(more)
▼ This thesis studies two optimization problems: the optimization of a staffing policy assuming non stationary Poisson demand, and exponential travel and job times, and the optimization of investment decisions with an investment lag. In the staffing policy optimization, we solve a novel time-dynamic Hamilton-Jacobi-Bellman equation that models jobs as a Poisson jump process. The model gives the employer the flexibility to control the number of staff hired by two factors: the cost of hiring and the effect of delay. We have solved the optimal staffing policy problem using different approaches, which are compared. We produce accurate numerical results for different parameters, and discuss the advantages and disadvantages of each approach. Moreover, we have solved a staffing problem for a national utility company, using a standard linear programming approach, which is compared with our methods. In addition to the Poisson jump process, we extend the model to treat a continuous job model, and two locations model that is extendible to a larger network problem. In the investment lag problem, we use a mixture of numerical methods including finite difference and body fitted co-ordinates to form a robust and stable numerical scheme which is applied to solve the investment lag problem for a geometric Brownian motion presented in the paper by Bar-Ilan and Strange (1996). The problem is to calculate the optimal price to invest in a project that have a time lag period between the decision to invest and production, and the optimal price to mothball the project. The method presented in this thesis is more flexible as we compare it with the previous results, and solves the problem for different stochastic processes, such as Cox-Ingersoll-Ross model, which does not have analytic solution.
Subjects/Keywords: 519.3; Optimization; Real Options valuations; Dynamic programming
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APA (6th Edition):
Al-Foraih, M. N. (2015). Applications in optimization and investment lag problem. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494
Chicago Manual of Style (16th Edition):
Al-Foraih, Mishari Najeeb. “Applications in optimization and investment lag problem.” 2015. Doctoral Dissertation, University of Manchester. Accessed January 17, 2021.
https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494.
MLA Handbook (7th Edition):
Al-Foraih, Mishari Najeeb. “Applications in optimization and investment lag problem.” 2015. Web. 17 Jan 2021.
Vancouver:
Al-Foraih MN. Applications in optimization and investment lag problem. [Internet] [Doctoral dissertation]. University of Manchester; 2015. [cited 2021 Jan 17].
Available from: https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494.
Council of Science Editors:
Al-Foraih MN. Applications in optimization and investment lag problem. [Doctoral Dissertation]. University of Manchester; 2015. Available from: https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494
Purdue University
19.
Athigakunagorn, Nathee.
USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING.
Degree: PhD, Civil Engineering, 2015, Purdue University
URL: https://docs.lib.purdue.edu/open_access_dissertations/1163
► Highway agencies have a fiduciary responsibility for cost-effective upkeep of highway assets worth trillions of dollars. A critical aspect of this stewardship is the ability…
(more)
▼ Highway agencies have a fiduciary responsibility for cost-effective upkeep of highway assets worth trillions of dollars. A critical aspect of this stewardship is the ability to make informed decisions regarding the scheduling of interventions geared to enhance infrastructure capacity and structural integrity or to maintain a state of good repair. Development of such schedules which are time-based or condition-based, often proceeds with the implicit assumption that a certain asset-related parameter of volatility will continue to follow a certain pattern on the basis of observed past trends. However, given the uncertain nature of the asset environment, it is often the case that the economic attractiveness of an investment determined at the analysis year may not be the same over time. In some cases, it is possible to scale back, defer, or expand the investment at a future time in order to avoid excessive losses or to capture additional rewards; in other cases, it is not easy to scale back, defer, or expand. As stewards of taxpayer money, highway agencies place great value on any flexibility they may be granted to exercise these
options.
Advisors/Committee Members: Samuel Labi, Kumares C Sinha, Thomas L Morin, Amr A Kandil.
Subjects/Keywords: Highway Asset; Intervention Scheduling; Real Options
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APA (6th Edition):
Athigakunagorn, N. (2015). USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING. (Doctoral Dissertation). Purdue University. Retrieved from https://docs.lib.purdue.edu/open_access_dissertations/1163
Chicago Manual of Style (16th Edition):
Athigakunagorn, Nathee. “USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING.” 2015. Doctoral Dissertation, Purdue University. Accessed January 17, 2021.
https://docs.lib.purdue.edu/open_access_dissertations/1163.
MLA Handbook (7th Edition):
Athigakunagorn, Nathee. “USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING.” 2015. Web. 17 Jan 2021.
Vancouver:
Athigakunagorn N. USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING. [Internet] [Doctoral dissertation]. Purdue University; 2015. [cited 2021 Jan 17].
Available from: https://docs.lib.purdue.edu/open_access_dissertations/1163.
Council of Science Editors:
Athigakunagorn N. USING REAL OPTIONS THEORY TO ENHANCE HIGHWAY ASSET INTERVENTION SCHEDULING. [Doctoral Dissertation]. Purdue University; 2015. Available from: https://docs.lib.purdue.edu/open_access_dissertations/1163
20.
Ben Flah, Inès.
Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts.
Degree: Docteur es, Sciences de gestion, 2011, Aix-Marseille 3
URL: http://www.theses.fr/2011AIX32081
► Cette thèse s'intéresse à montrer l'intérêt aussi bien conceptuel qu'empirique de l'approche optionnelle de l'évaluation et du timing des projets de fusions-acquisitions. Pour ce faire,…
(more)
▼ Cette thèse s'intéresse à montrer l'intérêt aussi bien conceptuel qu'empirique de l'approche optionnelle de l'évaluation et du timing des projets de fusions-acquisitions. Pour ce faire, nous avons, tout d'abord, mobilisé une large littérature sur les fusions-acquisitions et les options réelles qui y sont liées. Constatant le manque de contributions empiriques au niveau de cette littérature, nous avons procédé à la réalisation de deux études empiriques. La première est une étude qualitative exploratoire réalisée auprès d'experts en fusions-acquisitions. Les résultats de cette étude nous ont permis d'étudier d'une manière approfondie les particularités de l'évaluation et du timing des fusions-acquisitions et de faire émerger de nouvelles catégories d'options réelles présentes dans les différentes phases du processus d'évaluation et dans les moments de choix de timing.Ces options ont été par la suite classées en options stratégiques de croissance et en option de flexibilité. Une fois les options identifiées, nous sommes passés à notre deuxième étude empirique qui est une étude de cas réel. Celle-ci vise, à partir d'un projet de fusion-acquisition réel, à expliciter les problématiques d'évaluation et de choix de timing lorsque l'acquéreur utilise les techniques traditionnelles d'évaluation telles que la Valeur Actuelle Nette. Les limites de ces méthodes nous amènent à proposer des solutions pour une meilleure approche de l'évaluation et du timing des fusions-acquisitions en contexte d'incertitude: la méthode par les options réelles. Pour ce faire, nous proposons d'évaluer l'opportunité d'acquisition et d'étudier le choix de timing opportun à sa conclusion à partir de la méthodologie de l'option simple. Trois méthodes d'évaluation sont alors adoptées: le modèle d'évaluation en temps continu (Black et Scholes), le modèle développé en temps discret ( arbres binomiaux) et la technique des simulations de Monte Carlo. La deuxième solution proposée est celle de l'approche de l'évaluation et du timing des fusions-acquisitions par la méthodologie de l'option composée multi-séquentielle. A ce titre, nous mobilisons le modèle binomial adapté par Mun (2010) et proposons une modélisation sur mesure sous Visual Basic des séquences d'options sur options liées au processus d'évaluation et au choix du timing
The aim of this thesis is to study the conceptual and the empirical role when valuation and timing of mergers and acquisitions are approached by real options theory. To reach this aim, we started by analyzing a huge litterature on real option approach of mergers and acquisitions. We noticed a big lack on empirical contributions of real options in the mergers and acquisitions field, specially in pre-closing phases, where the acquirer value his project and choose the optimal timing to conclude it. To more investigate on that, we led deux studies. The first one is an exploratory study, in which we interviewed professionals on mergers and acquisitions on partucularities of valuation and timing on mergers and acquisitions. Then we…
Advisors/Committee Members: Chollet, Pierre (thesis director).
Subjects/Keywords: Fusions-acquisitions; Options réelles; Évaluation; Timing; Options simples; Options composées multi-séquentielles; Mergers and acquisitions; Real options; Valuation; Timing; Simple options; Multi-phased compound options; 650; 330
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APA ·
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Export
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APA (6th Edition):
Ben Flah, I. (2011). Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts. (Doctoral Dissertation). Aix-Marseille 3. Retrieved from http://www.theses.fr/2011AIX32081
Chicago Manual of Style (16th Edition):
Ben Flah, Inès. “Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts.” 2011. Doctoral Dissertation, Aix-Marseille 3. Accessed January 17, 2021.
http://www.theses.fr/2011AIX32081.
MLA Handbook (7th Edition):
Ben Flah, Inès. “Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts.” 2011. Web. 17 Jan 2021.
Vancouver:
Ben Flah I. Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts. [Internet] [Doctoral dissertation]. Aix-Marseille 3; 2011. [cited 2021 Jan 17].
Available from: http://www.theses.fr/2011AIX32081.
Council of Science Editors:
Ben Flah I. Evaluation et timing des fusions-acquisitions : une approche par les options réelles : Numerical simulation and analysis of petroleum recovery processes characterized by sharp fronts. [Doctoral Dissertation]. Aix-Marseille 3; 2011. Available from: http://www.theses.fr/2011AIX32081
KTH
21.
Segerlund, David.
Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen.
Degree: Real Estate and Construction Management, 2015, KTH
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070
► Denna studie visar hur valet av metod och värderarens antagande påverkar värderingen av byggrätter. Inledningsvis studeras ett antal faktiska värderingar med avseende på använda…
(more)
▼ Denna studie visar hur valet av metod och värderarens antagande påverkar värderingen av byggrätter. Inledningsvis studeras ett antal faktiska värderingar med avseende på använda metoder och antaganden. Vi finner att fastighetsvärderarna i regel använder ortsprismetoden vid värdering av byggrätter, som komplement används ibland en kalkylbaserad metod. Det visas att fastighetsvärderarens antaganden om framtida bebyggelse i hög grad påverkar värderingen. I mindre utsträckning påverkar valet av värderingsmodell.
In this thesis is presented how the choice of valuation model and the assumptions made by the real estate appraiser affects the valuation of land. By studying a number of valuations we find that the method of choice when valuing land is by a sales comparison method, to complement this method a calculation based model is sometimes used. It is shown that the assumptions made by appraiser to a large degree affect the valuation when using a calculation based model. To a lesser degree the valuation will depend on the choice of valuation model.
Subjects/Keywords: Real estate valuation; real options; Fastighetsvärdering; byggrättsvärdering; reala optioner
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APA (6th Edition):
Segerlund, D. (2015). Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Segerlund, David. “Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen.” 2015. Thesis, KTH. Accessed January 17, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Segerlund, David. “Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen.” 2015. Web. 17 Jan 2021.
Vancouver:
Segerlund D. Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen. [Internet] [Thesis]. KTH; 2015. [cited 2021 Jan 17].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Segerlund D. Värdering av byggrätter - Om hur valet av metod och antaganden påverkar värderingen. [Thesis]. KTH; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169070
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Manitoba
22.
Allenotor, David.
A Fuzzy Real Option Model for Pricing Grid Compute Resources.
Degree: Computer Science, 2011, University of Manitoba
URL: http://hdl.handle.net/1993/4398
► Many of the grid compute resources (CPU cycles, network bandwidths, computing power, processor times, and software) exist as non-storable commodities, which we call grid compute…
(more)
▼ Many of the grid compute resources (CPU cycles, network bandwidths, computing power, processor times, and software) exist as non-storable commodities, which we call grid compute commodities (gcc) and are distributed geographically across organizations. These organizations have dissimilar resource compositions and usage policies, which makes pricing grid resources and guaranteeing their availability a challenge. Several initiatives (Globus, Legion, Nimrod/G) have developed various frameworks for grid resource management. However, there has been a very little effort in pricing the resources. In this thesis, we propose financial option based model for pricing grid resources by devising three research threads: pricing the gcc as a problem of
real option, modeling gcc spot price using a discrete time approach, and addressing uncertainty constraints in the provision of Quality of Service (QoS) using fuzzy logic.
We used GridSim, a simulation tool for resource usage in a Grid to experiment and test our model. To further consolidate our model and validate our results, we analyzed usage traces from six
real grids from across the world for which we priced a set of resources. We designed a Price Variant Function (PVF) in our model, which is a fuzzy value and its application attracts more patronage to a grid that has more resources to offer and also redirect patronage from a grid that is very busy to another grid. Our experimental results show that the application of the PVF has helped achieve equilibrium between users satisfaction measured as QoS and recovery of the infrastructure investment made by the providers. In the absence of pricing benchmarks, we setup Commodity Base Prices (CBP) and then integrated our PVF and CBP with GridSim to price grid compute resources.
In summary, this thesis provides the design of a model to price grid compute resources using financial
options theory. The model achieves mutual benefit for users and providers in the grid environment. The mutual benefit is expressed in terms of QoS to the users and recovery of investments on the grid infrastructure for the providers. This thesis has opened up many different opportunities for further research especially in the era of enterprise computing with clouds.
Advisors/Committee Members: Thulasiram, Ruppa (Computer Science) (supervisor), Graham, Peter (Computer Science) Walton, Desmond (Computer Science) Mossman, Charles (Accounting and Finance) Buyya, Rajkumar (The University of Melbourne) (examiningcommittee).
Subjects/Keywords: Grid Resources; Financial Options; Real Options; QoS; Fuzzy Logic; Cloud and Grid Computing
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APA ·
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Manager
APA (6th Edition):
Allenotor, D. (2011). A Fuzzy Real Option Model for Pricing Grid Compute Resources. (Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/4398
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Allenotor, David. “A Fuzzy Real Option Model for Pricing Grid Compute Resources.” 2011. Thesis, University of Manitoba. Accessed January 17, 2021.
http://hdl.handle.net/1993/4398.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Allenotor, David. “A Fuzzy Real Option Model for Pricing Grid Compute Resources.” 2011. Web. 17 Jan 2021.
Vancouver:
Allenotor D. A Fuzzy Real Option Model for Pricing Grid Compute Resources. [Internet] [Thesis]. University of Manitoba; 2011. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/1993/4398.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Allenotor D. A Fuzzy Real Option Model for Pricing Grid Compute Resources. [Thesis]. University of Manitoba; 2011. Available from: http://hdl.handle.net/1993/4398
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
23.
Köppl, Stefan.
Valuation of Phoenics.
Degree: 2013, RCAAP
URL: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6964
► Project / JEL Classification: M13, M21, M41
This work presents theoretical background for diverse valuation methods, with special attention paid to the real options method…
(more)
▼ Project / JEL Classification: M13, M21, M41
This work presents theoretical background for diverse valuation methods, with special attention paid to the real options method and its advantages over traditional methods for valuation of young entities. Additionally, it presents a case study of a start-up company, the value of which is found using diverse methods. The main result shows that the value of the company obtained with the real options approach is much higher than the one found with traditional discounted cash flow (DCF) method. Moreover, it shows that the difference in the obtained valuations leads to different strategic decisions: according to DCF certain projects should not be undertaken, whereas according to the real options approach the company should expand its operations.
Esta dissertação apresenta uma base teórica para diversos métodos de avaliação, com especial atenção para o método de opções reais e as suas vantagens em relação aos métodos tradicionais de avaliação de entidades jovens. Além disso, apresenta um case study de uma empresa start-up, cujo o seu valor é encontrado usando diversos métodos. O resultado principal mostra que o valor da empresa obtido com a utilização de opções reais é muito maior do que o encontrado com o método tradicional de fluxos de caixa descontados (DCF). Também mostra que a diferença entre as valorizações obtidas, leva a diferentes decisões estratégicas: de acordo com DCF determinados projectos não devem ser realizados, no entanto segundo as opções reais, a empresa deve expandir suas operações
Advisors/Committee Members: Sousa, Helena Pinto de.
Subjects/Keywords: Real options valuation; Discounted cash flow valuation; Start-up companies; Método de avaliação; Opção real
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Köppl, S. (2013). Valuation of Phoenics. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6964
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Köppl, Stefan. “Valuation of Phoenics.” 2013. Thesis, RCAAP. Accessed January 17, 2021.
https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6964.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Köppl, Stefan. “Valuation of Phoenics.” 2013. Web. 17 Jan 2021.
Vancouver:
Köppl S. Valuation of Phoenics. [Internet] [Thesis]. RCAAP; 2013. [cited 2021 Jan 17].
Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6964.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Köppl S. Valuation of Phoenics. [Thesis]. RCAAP; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6964
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Halmstad University
24.
Andersson, Malin.
Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?.
Degree: Engineering and Science, 2016, Halmstad University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-31051
► The real estate market in Sweden in the current situation is found to be very attractive, which in return is influenced by number of…
(more)
▼ The real estate market in Sweden in the current situation is found to be very attractive, which in return is influenced by number of elements such as interest rates, market conditions, etc. Real estate investments result in relatively large amounts, that is why investors like to be relatively sure regarding their investments, or at least that they are knowing to get their investment back in case of a sale. Real options are a complement to the calculation real estate companies does. Real options are used to take alternative solutions in regard, and also to contribute alternative values to the investment, which is mainly used if an investments outcome is not as desired. As a result to this complement to the calculation we wished to study the following: What can influence the application of real options in a real estate investing decision in private real estate companies? This study was done with a deductive method, and because of that a theoretical reference frame were formed, and afterwords investigate if the theoretical facts agreed with reality. To be able to compare the theoretical parts and the empirical parts, it was important that the empirical part was relevant to our subject. For the empirical fact to be as relevant as possible, this study was performed with a qualitative approach, and therefor four private real estate companies were interviewed, two bigger and two smaller. The real estate companies interviewed are active in the southern parts of Sweden. This study results in four conclusions drawn on the basis of the four interviewed real estate companies, regarding what can influence the application of real options in a investment decision. Three of the real estate companies finds that the risks with commercial real estates, and the external factors which influence market conditions affect their application of alternative solutions regarding their investments. All four of the real estate companies find that new incoming information and the experience, which the decision maker holds, affects application of real options. Thus, real estate companies must be able to know when and what alternative solutions to apply.
Fastighetsmarknaden i Sverige anses vara väldigt attraktiv i dagsläget, vilket flertalet faktorer bidrar till såsom ränteläge, marknadsförhållanden etcetera. Investeringar i fastigheter medför relativt stora belopp, därför tenderar investerare att vilja vara relativt säkra på sina investeringar, eller att de åtminstone kan få tillbaka den erlagda investeringen vid en eventuell försäljning. Ett komplement till de kalkyler fastighetsbolagen genomför är reala optioner. Reala optioner används för att ta alternativa lösningar i beaktan, samt för att kunna tillföra investeringen alternativa värden, vilket främst används om investeringen inte har ett önskat utfall. Detta komplement till kalkyler medförde att vi önskade undersöka; vad kan påverka tillämpningen av reala optioner vid beslut om fastighetsinvesteringar i privata…
Subjects/Keywords: Private real estate companies; real options; investment decisions; Privata fastighetsbolag; reala optioner; investeringsbeslut
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APA (6th Edition):
Andersson, M. (2016). Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-31051
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Andersson, Malin. “Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?.” 2016. Thesis, Halmstad University. Accessed January 17, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-31051.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Andersson, Malin. “Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?.” 2016. Web. 17 Jan 2021.
Vancouver:
Andersson M. Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?. [Internet] [Thesis]. Halmstad University; 2016. [cited 2021 Jan 17].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-31051.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Andersson M. Reala optioner: Vad påverkar tillämpningen i privata fastighetsbolag?. [Thesis]. Halmstad University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-31051
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
25.
Tukiainen, Taina.
The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures.
Degree: 2004, Helsinki University of Technology
URL: http://lib.tkk.fi/Diss/2004/isbn9512271222/
► Corporate ventures, the projects representing significant attempts by established firms to extend their domains into new areas, have long presented a fundamental puzzle. They are…
(more)
▼ Corporate ventures, the projects representing significant attempts by established firms to extend their domains into new areas, have long presented a fundamental puzzle. They are uncertain, thus results are unpredictable, in a world that values corporate predictability and reliability. They often do not deliver the intended results, and expose the corporation to significant risks. On the other hand, firms persistently make substantial investments in pursuing internal corporate ventures, and corporate venturing is often described as a key process through which organizations renew their capabilities and maintain their competitiveness. The question arises why would firms do this? Do corporate ventures create benefits for their parent firms, even when outcomes are not what was intended when the ventures were initiated? In this dissertation, I address this question offering evidence that suggests that ventures can create positive outcomes for the corporation even if they do not produce intended results. Drawing on ecological models, resource dependence models, and
real options thinking I develop propositions of environment, venture level, and firm level factors that correlate with value creation in corporate ventures. To empirically explore these propositions, I collected data on 37 corporate ventures in a large European telecommunications equipment manufacturer during the period from 1998-2002. I collected both quantitative and qualitative data from internal documentation, public sources and press releases and through multiple interviews (ranging from one to six interviews) in the ventures. Altogether I conducted 104 interviews. The ventures in question are the entire population of ventures authorized through a formal stage/gate process (with three major stages) in place within this firm at the time. As distinct from projects intended to enhance the existing business, these ventures all represent forays into either new market spaces or into the commercialization of new technological solutions. To analyze the decision-making processes I used both qualitative and quantitative analysis methods allowing us to exploit the depth of data but also systematically compare patterns across ventures. Several key findings emerged from the data. I found support for the importance of venture level, firm level and venture environment variables in explaining venture outcomes. Value created by ventures depends on both the intrinsic value potential and how this value is managed and captured in the firm. While I found that value creation in terms of revenues or number of patents grew with the age of ventures, in line with
real options arguments, I found ample evidence of value creation in discontinued ventures. In fact, discontinuing ventures in which time had disproved the venture concept and reallocating the resources that these ventures had created was a major value creation mechanism in the corporation. Central to this value creation process was redirecting or discontinuing ventures, as key milestones were approached. Several…
Advisors/Committee Members: Helsinki University of Technology, Department of Industrial Engineering and Management, Laboratory of Industrial Management.
Subjects/Keywords: corporate ventures; real options; search; performance; resource-dependence; organizational ecology
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APA (6th Edition):
Tukiainen, T. (2004). The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures. (Thesis). Helsinki University of Technology. Retrieved from http://lib.tkk.fi/Diss/2004/isbn9512271222/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Tukiainen, Taina. “The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures.” 2004. Thesis, Helsinki University of Technology. Accessed January 17, 2021.
http://lib.tkk.fi/Diss/2004/isbn9512271222/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Tukiainen, Taina. “The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures.” 2004. Web. 17 Jan 2021.
Vancouver:
Tukiainen T. The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures. [Internet] [Thesis]. Helsinki University of Technology; 2004. [cited 2021 Jan 17].
Available from: http://lib.tkk.fi/Diss/2004/isbn9512271222/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Tukiainen T. The Unexpected Benefits of Internal Corporate Ventures: An Empirical Examination of the Consequences of Investment in Corporate Ventures. [Thesis]. Helsinki University of Technology; 2004. Available from: http://lib.tkk.fi/Diss/2004/isbn9512271222/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
26.
Näsäkkälä, Erkka.
Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging.
Degree: 2005, Helsinki University of Technology
URL: http://lib.tkk.fi/Diss/2005/isbn9512277360/
► This thesis studies electricity derivative markets from a view point of an electricity producer. The traditionally used asset pricing methods, based on the no arbitrage…
(more)
▼ This thesis studies electricity derivative markets from a view point of an electricity producer. The traditionally used asset pricing methods, based on the no arbitrage principle, are extended to take into account electricity specific features: the non storability of electricity and the variability in the load process. The sources of uncertainty include electricity forward curve, prices of resources used to generate electricity, and the size of the future production. Also the effects of competitors' actions are considered. The thesis illustrates how the information in the derivative prices can be used in investment and production planning. In addition, the use of derivatives as a tool to stabilize electricity dependent cash flows is considered. The results indicate that the information about future electricity prices and their uncertainty, obtained from derivative markets, is important in investment analysis and production planning.
Systems Analysis Laboratory research reports. A, ISSN 0782-2030; 91
Advisors/Committee Members: Helsinki University of Technology, Department of Engineering Physics and Mathematics, Systems Analysis Laboratory.
Subjects/Keywords: asset pricing; real options; portfolio selection; electricity markets; forward curve
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Manager
APA (6th Edition):
Näsäkkälä, E. (2005). Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging. (Thesis). Helsinki University of Technology. Retrieved from http://lib.tkk.fi/Diss/2005/isbn9512277360/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Näsäkkälä, Erkka. “Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging.” 2005. Thesis, Helsinki University of Technology. Accessed January 17, 2021.
http://lib.tkk.fi/Diss/2005/isbn9512277360/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Näsäkkälä, Erkka. “Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging.” 2005. Web. 17 Jan 2021.
Vancouver:
Näsäkkälä E. Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging. [Internet] [Thesis]. Helsinki University of Technology; 2005. [cited 2021 Jan 17].
Available from: http://lib.tkk.fi/Diss/2005/isbn9512277360/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Näsäkkälä E. Electricity Derivative Markets: Investment Valuation, Production Planning and Hedging. [Thesis]. Helsinki University of Technology; 2005. Available from: http://lib.tkk.fi/Diss/2005/isbn9512277360/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Temple University
27.
Zhang, Xiaotian.
THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING.
Degree: PhD, 2008, Temple University
URL: http://digital.library.temple.edu/u?/p245801coll10,16431
► Business Administration
Outsourcing became an important corporate strategic issue and part of the business lexicon since the 1980s. Existing studies on outsourcing mostly focus on…
(more)
▼ Business Administration
Outsourcing became an important corporate strategic issue and part of the business lexicon since the 1980s. Existing studies on outsourcing mostly focus on benefits of outsourcing such as cost saving and resource reallocation, and the results are generally ambiguous regarding outsourcing outcomes. We study three important aspects of outsourcing that were largely overlooked in the existing literature: the benefit of flexibility acquisition, the power play between the CEO and labor in outsourcing decisions, and the effects of flexibility and governance for global outsourcing. This dissertation consists of three essays and constitutes an empirical investigation that (a) what the effects of flexibility and governance are for US firms engaged in outsourcing, (b) how the power play between the CEO and labor affects the decision to outsource and its outcomes, and (c) how offshore outsourcing is decided and what the value of offshore outsourcing is.
The first paper examines the influence of a firm's flexibility on its decision to outsource. It is commonly believed that flexibility is good, but there is little empirical evidence on whether flexibility affects corporate performance. The paper casts outsourcing in terms of real options and presents evidence regarding the value of flexibility for US firms engaged in outsourcing. From a real option perspective, a major source of gains from outsourcing is the flexibility it entails, compared to continued in-house production under high fixed cost and demand uncertainty. Empirical analyses include an examination of market reactions to outsourcing announcements and long-term post-outsourcing firm performance, as well as the relation between flexibility and outsourcing outcomes. The results show that market reactions are positive and significant, along with a potential synergy between outsourcing and insourcing firms. More importantly, after controlling for potential switching costs related to outsourcing, outsourcing gains are significantly associated with the presence of a firm's growth options. In addition, firm performance is related to corporate governance, underscoring the importance of effective corporate governance as a requisite to aid the realization of potential gains from outsourcing.
The second paper asks the question of whether the power play between the CEO and labor affects a firm's outsourcing decisions and outcomes. Outsourcing can be viewed as a power play between the CEO and labor. Fundamentally, outsourcing may be potentially desirable because of cost saving and the value of flexibility. However, to make it happen, the CEO must negotiate with labor that may resist outsourcing because of its concern for jobs. Yet without outsourcing, the firm may lose out competitively and labor may lose even more. This paper empirically examines the extent to which outsourcing decisions and outcomes depend on CEO power and labor participation in major corporate decisions. Using the sample of US firms, we find that the likelihood of outsourcing is…
Advisors/Committee Members: Choi, Jongmoo Jay, Kopecky, Kenneth J., Mao, Connie X., Chen, Zhaohui, Kotabe, Masaaki.
Subjects/Keywords: Business Administration, General; Economics, Finance; Outsourcing; Real options; Flexibility; Governance
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APA ·
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Manager
APA (6th Edition):
Zhang, X. (2008). THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING. (Doctoral Dissertation). Temple University. Retrieved from http://digital.library.temple.edu/u?/p245801coll10,16431
Chicago Manual of Style (16th Edition):
Zhang, Xiaotian. “THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING.” 2008. Doctoral Dissertation, Temple University. Accessed January 17, 2021.
http://digital.library.temple.edu/u?/p245801coll10,16431.
MLA Handbook (7th Edition):
Zhang, Xiaotian. “THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING.” 2008. Web. 17 Jan 2021.
Vancouver:
Zhang X. THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING. [Internet] [Doctoral dissertation]. Temple University; 2008. [cited 2021 Jan 17].
Available from: http://digital.library.temple.edu/u?/p245801coll10,16431.
Council of Science Editors:
Zhang X. THE EFFECTS OF FLEXIBILITY AND GOVERNANCE ON OUTSOURCING. [Doctoral Dissertation]. Temple University; 2008. Available from: http://digital.library.temple.edu/u?/p245801coll10,16431
University of Michigan
28.
Gune, Aniket A.
Real options and networks.
Degree: PhD, Operations research, 2007, University of Michigan
URL: http://hdl.handle.net/2027.42/126426
► Over the past few years' researchers have investigated fixing the problems of allocating resources effectively maintaining cost efficiency in telecommunications and electricity networks. The ideal…
(more)
▼ Over the past few years' researchers have investigated fixing the problems of allocating resources effectively maintaining cost efficiency in telecommunications and electricity networks. The ideal network configuration would maximize coverage, capacity, quality-of-service and deploy optimal investment models to negotiate the uncertainties of demand and shortcomings in network architecture. In this dissertation we introduce new ways to analyze optimization of telecommunications and electricity networks. The first part of the dissertation considers call routing in a telecommunications network. The network demands are assumed to be driven by Brownian motions and call routing takes place either directly or alternatively via an intermediate node. The expected routing processes and blocking probabilities are solved in terms of trivariate normal distributions. We consider the effects of demand uncertainty levels and their correlations on call routing and illustrate our model with a numerical example. Further, we show how our model can be used with a usual call routing method. In the second part of the dissertation, we formulate a game model for electricity market participants. Our model allows the government to regulate the participants to avoid blackouts and to maximize its revenues at the same time. We solve the equilibrium numerically using Stackelberg leadership model. Our results give insights of the factors that drive the system equilibrium. Further, it suggests how the government should regulate the market participants.
Advisors/Committee Members: Keppo, Jussi S. (advisor).
Subjects/Keywords: Networks; Optimization; Real Options; Routing
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APA (6th Edition):
Gune, A. A. (2007). Real options and networks. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/126426
Chicago Manual of Style (16th Edition):
Gune, Aniket A. “Real options and networks.” 2007. Doctoral Dissertation, University of Michigan. Accessed January 17, 2021.
http://hdl.handle.net/2027.42/126426.
MLA Handbook (7th Edition):
Gune, Aniket A. “Real options and networks.” 2007. Web. 17 Jan 2021.
Vancouver:
Gune AA. Real options and networks. [Internet] [Doctoral dissertation]. University of Michigan; 2007. [cited 2021 Jan 17].
Available from: http://hdl.handle.net/2027.42/126426.
Council of Science Editors:
Gune AA. Real options and networks. [Doctoral Dissertation]. University of Michigan; 2007. Available from: http://hdl.handle.net/2027.42/126426
University of Manchester
29.
Liu, Wung Pok Pok.
Modelling Of Global Nuclear Power Systems Using A Real
Options Approach.
Degree: 2013, University of Manchester
URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:184445
► This thesis is intended to contribute to policy analysis on nuclear energy planning, and also as a contribution to applied mathematics. From point of view…
(more)
▼ This thesis is intended to contribute to policy
analysis on nuclear energy planning, and also as a contribution to
applied mathematics. From point of view of nuclear policy analysis,
this thesis is not designed to offer realistic detail on nuclear
engineering itself, which is of second order relative to our chosen
problem. The goal is to address some large scale problems in the
management of the world stocks of two important nuclear fuels,
Uranium (an economically finite natural resource) and Plutonium
(the result at first of policies for Uranium burning, and later of
policies on fast reactor breeding). This thesis assumes, as a
‘political’ working hypothesis, that at some future time world
governments will agree urgently to decarbonise the world economy.
Up to that point, assuming no previous large progress towards
decarbonisation, basic world electricity consumption will have
continued to grow at its historic average of 1.9% compound. This
rate is hypothetically a combination of slower growth in the
developed world and faster growth in the developing world. On this
hypothesis, a necessary but not sufficient condition for
decarbonising the economy would be the complete decarbonisation of
future basic electricity demand, plus the provision of sufficient
extra decarbonised electricity supply to take over powering all
land transport. The demand for electricity for land transport at
any time is assumed to equal (in line with historical experience)
an increment of approximately 20% above the contemporary basic
world demand for electricity. The hypothetical scenario for
achieving this model of decarbonisation, without major stress to
the worlds economic and social system, is to expand nuclear power
to meet the whole of basic electricity demand. This would leave
intermittent renewable sources to power the intermittent
electricity demands of road transport.This thesis explores the
above hypothetical future in various ways. We first list published
forecasts of future Uranium use and future Uranium supply. These
suggest that presently known Uranium reserves can meet demand for
many decades. However on extrapolating the cumulative demand for
Uranium that results from the above working hypothesis, we find
that if a dash to decarbonise world electricity supply begins
immediately, this would consume a very large multiple of presently
known Uranium reserves. Sustaining that decarbonisation for only a
few more decades of demand growth would consume further large
multiples of the known Uranium supply. A delay in the start of the
dash for decarbonisation by only a few decades greatly increases
the cumulative Uranium demand needed to reach decarbonisation even
briefly.Therefore the sustained achievement of decarbonisation, in
a world economy of the historical type, requires such large Uranium
resources that a successor fuel cycle is required. This thesis
models only the case of a Uranium-based fast reactor fuel cycle,
since this cycle can in principle consume all the cumulative past
and future Plutonium stockpile, and can then meet…
Advisors/Committee Members: HOWELL, SYD SD, Howell, Syd, Duck, Peter.
Subjects/Keywords: PDE; Real Options; Finite-difference; Uranium; Plutonium; Nuclear Power Systems
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APA ·
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MLA ·
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Export
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Manager
APA (6th Edition):
Liu, W. P. P. (2013). Modelling Of Global Nuclear Power Systems Using A Real
Options Approach. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:184445
Chicago Manual of Style (16th Edition):
Liu, Wung Pok Pok. “Modelling Of Global Nuclear Power Systems Using A Real
Options Approach.” 2013. Doctoral Dissertation, University of Manchester. Accessed January 17, 2021.
http://www.manchester.ac.uk/escholar/uk-ac-man-scw:184445.
MLA Handbook (7th Edition):
Liu, Wung Pok Pok. “Modelling Of Global Nuclear Power Systems Using A Real
Options Approach.” 2013. Web. 17 Jan 2021.
Vancouver:
Liu WPP. Modelling Of Global Nuclear Power Systems Using A Real
Options Approach. [Internet] [Doctoral dissertation]. University of Manchester; 2013. [cited 2021 Jan 17].
Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:184445.
Council of Science Editors:
Liu WPP. Modelling Of Global Nuclear Power Systems Using A Real
Options Approach. [Doctoral Dissertation]. University of Manchester; 2013. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:184445
University of Manchester
30.
Schachter, Jonathan.
A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty.
Degree: 2016, University of Manchester
URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:300927
► This thesis investigates methodologies for valuing the flexibility of demand-side response (DSR) in its ability to respond to future uncertainties. The ability to quantify this…
(more)
▼ This thesis investigates methodologies for valuing
the flexibility of demand-side response (DSR) in its ability to
respond to future uncertainties. The ability to quantify this
flexibility is especially important for energy systems investments
given their large and irreversible capital costs. The consideration
of uncertainty in electricity markets and energy networks requires
solutions that allow decision makers to quickly respond to
unexpected events, such as extreme short-term electricity price
variations in an operational setting, or incorrect long-term demand
projections in planning. This uncertainty, coupled with the
irreversibility of energy network investments, results in the need
for viable 'wait-and-see' investment strategies that can help hedge
electicity price risk in the short-term while hedging planning risk
in the long-term, until at least some, if not all, uncertainty is
resolved. In both cases, this leads to an added value in the case
of temporary flexible investment
options like DSR, which may
otherwise be considered unattractive under a deterministic analysis
setting. A number of significant contributions to power systems
research are offered in this work, focusing on valuation methods
for quantifying the flexibility value of DSR under both short-term
and long-term uncertainty. The first outcome of this research is an
extensive review of current
real options (RO) methods that
clarifies the assumptions and utilization of RO for decision-making
in engineering applications. It suggests that many of the
assumptions used contribute to a misuse of the models when applied
to physical systems. A framework for investing under uncertainty is
proposed, where the methodologies, steps, inputs, assumptions,
limitations and advantages of different RO models are described so
as to offer a practical guide to decision makers for selecting the
most appropriate RO model for their valuation purposes. The second
outcome is the design of a probabilistic RO framework and
operational model for DSR that quantifies its benefits as an energy
service for hedging different market price risks. A mathematical
formulation for applying “
real options thinking” is presented that
provides decision makers with a means of quantifying the value of
DSR when both operational and planning decisions are
subject to
uncertainty. In particular, DSR contracts can have tremendous value
as an arbitrage or portfolio-balancing tool, helping hedge almost
entirely electricity price risk in day-ahead and
real-time markets,
especially when prices are highly volatile. This value is
quantified using a novel RO framework that frees the decision maker
from the assumptions needed in financial option models. A new load
forecasting and price simulation model is also developed to
forecast load profiles and simulate new price series with different
average values, higher volatilities and extreme price spikes to
represent potential future market scenarios and to determine under
which conditions DSR has the most value. The valuation of a DSR
investment is then…
Advisors/Committee Members: JOHNSON, PAUL PV, Johnson, Paul, Mancarella, Pierluigi.
Subjects/Keywords: real options; uncertainty; investment planning; distribution networks; demand side response
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APA ·
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MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Schachter, J. (2016). A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:300927
Chicago Manual of Style (16th Edition):
Schachter, Jonathan. “A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty.” 2016. Doctoral Dissertation, University of Manchester. Accessed January 17, 2021.
http://www.manchester.ac.uk/escholar/uk-ac-man-scw:300927.
MLA Handbook (7th Edition):
Schachter, Jonathan. “A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty.” 2016. Web. 17 Jan 2021.
Vancouver:
Schachter J. A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty. [Internet] [Doctoral dissertation]. University of Manchester; 2016. [cited 2021 Jan 17].
Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:300927.
Council of Science Editors:
Schachter J. A Real Options Approach to Valuing Flexibility in
Demand-Side Response Operations and Investments under
Uncertainty. [Doctoral Dissertation]. University of Manchester; 2016. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:300927
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Open Access Theses and Dissertations