Real option value and random jumps: application of a simulation model

This article studies how sensitive real option valuations are to incorrect assumptions about the stochastic process followed by the state variables. We design a valuation model which combines Monte Carlo simulation and dynamic programming and provides an appropriate framework to evaluate the effect of estimation errors on both the value of real options and their critical frontier. Although the model is flexible enough to value American-type options contingent on a wide range of stochastic processes, we focus on the analysis of the effect of stochastic jumps. We apply our model to the valuation of an investment in the car parts industry documented in previous literature. Our results clearly show that underestimating this type of jumps might lead to substantial misjudgements in a firm's decision-making processes. For instance, it may lead to profitable projects being rejected when jump diffusion is low, or negative expanded net present value projects being accepted.     

Real options as a component of the market value of stocks: evidence from the Spanish Stock Market

This paper aims to examine how investors’ expectations about the value of a firm's real options are reflected in the price of its stocks. If the real-option approach is correct, then the efficient-market hypothesis predicts that stock prices will reflect the available information relative to the real options held by firms and their ability to identify, acquire, maintain and exercise them. The role of investment irreversibility, operating and financial flexibility, business and geographical diversification, and size are examined as indicators of a firm's real option strategy. The empirical analysis of a panel of 101 companies listed on the Spanish Stock Exchange during the period 1991–1997 provides evidence consistent with predictions. The market value of the real option portfolio is significantly and positively related to business diversification, asset irreversibility and operating leverage, and negatively related to size. In addition, financial leverage and geographical diversification are not significantly related to our proxies for the market value of real options. These results are robust even after controlling for industry, and alternative measures of investment flexibility and business diversification.     

铁路枢纽计算机模拟过程的实现

为科学、合理地对铁路枢纽编组站的改、新建进行决策,提出应用模拟技术,建立模型,对一些局部问题准确求解。斯洛伐克和中国等国专家研发了模拟软件VirtuOS,并应用该软件对欧洲、亚洲和我国牡丹江编组站进行实际模拟,取得成功。VirtuOS按照实际系统的作业方法、线路结构变化条件,采用反复迭代式的逼近,研究出多种方案,并在某种条件下进行分析、设计和优化,不仅能预先知道决策的结果,还能在节省资金的情况下,用现有可行经验求出最优的解决方案。铁路枢纽采用模拟软件VirtuOS研究解决方案和建议内容含线路布局、资源的规模和项目、技术服务目标、决策的制定、路网的变化等规划的基础。