Masters Theses

Title

Sensitivity analysis of real options parameters

Author

Pei-Te Chung

Keywords and Phrases

Sensitivity analysis; Fianancial options-Greeks

Abstract

"Originally derived from financial options, real options attempt to take the ideas of financial options and apply them to non-financial options. Many of the ideas of financial options have carried over into the real option method, although opportunities for research on real options still exist. Financial options have been researched thoroughly throughout the past 30 years, especially in the area of risk sensitivity. Risk sensitivity is used in financial options to help investors understand how a change in a variable will affect the value of an option. Risk sensitivity values, known as the "Greeks.", are able to accurately predict the change of an option value, due to a minimal change in a variable. Real options have yet to approach this area of analysis as comprehensively. Generalities have been made to understand how a variable's change should affect a real option's value. This analysis in this paper will show that it may not always be appropriate to attempt to use a financial "Greek"-like sensitivity analysis in real options. In many cases, a traditional sensitivity analysis is more appropriate since variable changes affect each real option in unique ways"--Abstract, leaf iii.

Department(s)

Engineering Management and Systems Engineering

Degree Name

M.S. in Engineering Management

Publisher

University of Missouri--Rolla

Publication Date

Fall 2005

Pagination

x, 90 leaves

Note about bibliography

Includes bibliographical references (pages 79-80).

Rights

© 2005 Pei-Te Chung, All rights reserved.

Document Type

Thesis - Citation

File Type

text

Language

English

Library of Congress Subject Headings

Real options (Finance)

Thesis Number

T 8899

Print OCLC #

71068747

Link to Catalog Record

Full-text not available: Request this publication directly from Missouri S&T Library or contact your local library.

http://laurel.lso.missouri.edu/record=b5639328~S5

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