A Stochastic Control Framework for Real Options in Strategic Valuation
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Book Description
The theoretical foundations for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision-making providing management with strategies maximizing its capital market value. The book unfolds and examines a new framework for classifying real options from a management as well as a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and yield optimal capital market strategies and values. Various examples are given demonstrating the potential of the proposed framework.
Book Info
The book unfolds and examines a new framework for classifying real options from a management as well as a valuation perspective, giving the advantages and disadvantages of the real option approach. Various examples are given demonstrating the potential of the proposed framework.
A Stochastic Control Framework for Real Options in Strategic Valuation,Alexander Vollert,Birkhauser,0817642587,Applied,Business & Economics,Business / Economics / Finance,Business enterprises,Business/Economics,Corporations,Futures And Options Trading,Investments & Securities - General,Mathematical models,Probability & Statistics - General,Real options (Finance),Statistics,Stochastic Processes,Valuation,Applications of Mathematics,Mathematical Finance,Mathematics / Statistics,Numerical Mathematics,Stochastics,Stocks & shares
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