Doctoral Dissertations
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 - Open Access
File Type
text
Language
English
Subject Headings
Real options (Finance)Real options (Finance) -- Mathematical modelsCapital investments -- Decision making -- Mathematical modelsPublic-private sector cooperation
Thesis Number
T 10134
Print OCLC #
843765625
Electronic OCLC #
908588221
Recommended Citation
Chen, Hongyan, "Two essays on the domain translation from financial options to real options" (2012). Doctoral Dissertations. 86.
https://scholarsmine.mst.edu/doctoral_dissertations/86