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A network of options: Evaluating complex interdependent decisions under uncertainty
Authors:Takashi Akamatsu
Institution:a Graduate School of Information Sciences, Tohoku University, Sendai, Miyagi 980-8579, Japan
b Graduate School of Information Systems, The University of Electro-Communications, Chofu, Tokyo 182-8585, Japan
Abstract:The present article provides a novel framework for analyzing option network problems, which is a general class of compound real option problems with an arbitrary combination of reversible and irreversible decisions. The present framework represents the interdependent structure of decisions by using a directed graph. In this framework, the option network problem is formulated as a singular stochastic control problem, whose optimality condition is then obtained as a dynamical system of generalized linear complementarity problems (GLCPs). This enables us to develop a systematic and efficient numerical method for evaluating the option value and the optimal decision policy.
Keywords:Compound real options  Managerial flexibility  Graph theory  Singular stochastic control problems  Generalized complementarity problems
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