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Trading real options analysis course - business cases and software applic - Mun P.D.

Mun P.D. Trading real options analysis course - business cases and software applic - Wiley publishing , 2003. - 318 p.
ISBN 047-43001-3
Download (direct link): tradingohnathan2003.pdf
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forecasting, 41-42 generation, 45 historical data, 202 Risk-adjusted discount rate, 53, 126, 136 Risk-adjusted probability, 74, 86 Risk-adjustment
contract options, 120 methods, 107 Risk analysis, Monte Carlo simulation, 61-62 Risk capital, 285 Risk diversification, 179 Risk-free rate, 75, 110, 117, 120, 123, 145, 154, 167, 175, 178
Risk minimization, 55 Risk-neutral probabilities analysis, 190, 195 implications of, 73-75, 84-85, 90, 98-99, 129, 219 Real Options Analysis Toolkit software, 244 Royalty rates, 55, 201-202, 208-210
Sales volume, 16
Salvage value, 74, 86, 99, 101,
104, 126, 134,162-164, 167-167, 243
Savings, 119, 125, 165, 243 Seasonality, 203 Sensitivity Analysis, 4 Sequential compound option case study, 201-208 characteristics of, 49, 136, 145-154, 201-203, 208, 232
Real Options Analysis Toolkit software, 243, 246 Simulation, 54-55 Simultaneous compound option characteristics of, 139-144, 150, 231
Real Options Analysis Toolkit software, 243-244 Spreadsheet risk analysis, 61-62. See also Monte Carlo simulation Standard deviation, volatility estimates, 69-70 Startup entities, The Digital News case study, 284-289 State-pricing approach, 88-90,
221
Static DCF models, 42-43 Step-size ratio, 266 Step sizes, 106, 118 Stepping time. See Time steps Stochastic differential model, 22 Stochastic optimization, 208-210 Stochastic options, Real Options Analysis Toolkit software,
247-248 Stochastic process, DCF model,
44-45 Stochastic timing option
characteristics of, 175-178 Real Options Analysis Toolkit software, 248 Stochastic variables, DCF model,
45-46
Index
303
Stock price path, 63 Strategic abandonment option, 100-101 Strike price, change cost options, 155 Super lattice
implications of, 114 Real Options Analysis Toolkit software, 242-244, 246 Switching option
characteristics of, 178-182 Real Options Analysis Toolkit software, 248
Table(s)
dividend impact, 272-279 implied volatility, 95, 105, 266-271 switching options, 181-182 Tax rates, implications of, 62 The Digital News (TDN), startup case study financial analysis/modeling, 288-289 framing options, 287-288 real options analysis, 285-287 valuation challenge, 284-288 3D option space matrix, 47-48, 54 Time-series forecasting, 42, 65, 204-205 Time-steps, 25, 74
abandonment options, 96-97 binomial lattices, 74-75, 79, 92-94
trinomial lattices, 91, 93 Timing, pharmaceutical R&D example, 50 Timing options, stochastic, 175-178 Tornado analysis, 44 Tornado Charts, 4 Tornado Diagram, 44
Total gross revenues, 21 Trinomial lattices, 90-94, 222-224 2-nomial, 46
Uncertainty level, implications of, 53, 75-76 Underlying assets, 74-75 Update analysis, 56 Up factors, 74-75, 97 Up jump step-size, 84, 89-90, 244 Upside swings, 55 Utility power plant, 45
Valuation
option lattices, 26-29, 74, 81,
83, 85, 100, 107-109, 111, 113, 122, 128, 131, 139-140, 151-152, 156, 158-159, 172, 199, 208 risk-neutral, 74 Venture capitalists (VCs),
functions of, 284-289 Volatility
annualizing, 68 applications, 72 dCf model, 46-48 estimates
logarithmic cash-flow returns analysis, 64-65 logarithmic present-value approach, 65-67 management assumption approach, 67-68 explaining, 68-71 implications of, 24-25 implied. See Implied volatility nonrecombining lattice, 196 option analysis, Real Options Analysis Toolkit software, 247
Weighted average, discounted, 138
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