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Real options valuation: a case study of an e-commerce company

Saenz-Diez, Rocio - ; Gimeno, Ricardo - ; Abajo, Carlos de - ;

This paper presents a real options valuation model with original solutions to some issues that arise frequently when trying to apply these models to real-life situations. The authors build on existing models by introducing an innovative and intuitive risk neutral adjustment that allows us to work with all the simulated paths. The problem of incorporating real options into each path is solved with a "nearest neighbors" technique, and uncertainty is simulated using a beta distribution that adapts better to company-specific information. The model is then applied to a real life e-commerce company to produce the following insights: the expanded present value is higher than the traditional present value; the presence of several real options make them interact so that their values are nonadditive; and part of the expanded present value is explained by the presence of "Jensen's inequality" that stems from the "convexity" between the value of each year's cash flow and the uncertain variables. .Printed Journal


Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit: Adler Manurung Press
Edisi-
Subjek-
ISBN/ISSN10781196
Klasifikasi-
Deskripsi Fisik-
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

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