Doctoral Dissertations

Author

Hongyan Chen

Keywords and Phrases

Build-operate-transfer (BOT)

Abstract

"Real options (ROs) extend the financial option pricing theory to the valuation of real asset investment and managerial flexibility under uncertainty. However, differences between financial and non-financial markets, and the complex real world environment of applications, build obstacles for the domain translation from financial options to ROs.

This dissertation is motivated by the challenges of domain translation and developed in two essays. The first essay studies the incentive function of ROs (named the RO incentive). The essay develops an option-game framework to model the RO incentive, examines the change of investment behavior caused by the RO incentive, and values the collaboration improvement. A general framework for designing RO incentives is also developed in the essay for different forms of public-private partnerships (PPPs). The second essay focuses on dynamic capacity expansions, a representative RO application, and analyzes important factors of RO practices for the problem. These include economies of scale, capacity expansion mode, opportunity cost of waiting, terminal value of expansions, and capacity cap. Theoretical insights are obtained through the analysis, which are able to efficiently support the dynamic expansion decisions and explain observations from the numerical solution.

The work of this dissertation has reduced the gap between the option theory and RO practices. It also has built a scientific foundation for exploring advanced RO problems such as the incentive design for multiple (more than two) agents and dynamic capacity planning with resource constraints during a mission"--Abstract, page iii.

Advisor(s)

Qin, Ruwen

Committee Member(s)

Long, Suzanna, 1961-
Liu, Zhen
Gosavi, Abhijit
Wen, Xuerong

Department(s)

Engineering Management and Systems Engineering

Degree Name

Ph. D. in Engineering Management

Publisher

Missouri University of Science and Technology

Publication Date

Fall 2012

Journal article titles appearing in thesis/dissertation

  • Incentive function of real options
  • Practical issues in RO applications

Pagination

ix, 121 pages

Note about bibliography

Includes bibliographical references (pages 112-120).

Rights

© 2012 Hongyan Chen, All rights reserved.

Document Type

Dissertation - Restricted Access

File Type

text

Language

English

Library of Congress Subject Headings

Real options (Finance)
Real options (Finance) -- Mathematical models
Capital investments -- Decision making -- Mathematical models
Public-private sector cooperation

Thesis Number

T 10134

Print OCLC #

843765625

Electronic OCLC #

908588221

Link to Catalog Record

Electronic access to the full-text of this document is restricted to Missouri S&T users. Otherwise, request this publication directly from Missouri S&T Library or contact your local library.

http://laurel.lso.missouri.edu:80/record=b9660396~S5

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