Valuing managerial flexibility : an application of real-option theory to steel industry investments

• Autorzy: Rębiasz B. , Gaweł B. , Skalna I.

Identyfikatory

DOI

10.5277/ord170206

• Języki publikacji: EN

Abstrakty

EN

In the steel industry which is subject to significant volatility in its output prices and market demands for different ranges of products the diversification of production can generate important value for switch real options. Therefore, a common practice is to invest in various assets, thus generating the possibility of diversification of production and valuable switch options. The incremental benefit of product switch options in steel plant projects has been assessed. Such options are valued using the Monte Carlo simulation and modeling the prices of and demand for steel products as geometric Brownian motion (GBM). Our results show that this option can generate a significant increase in the net present value (NPV) of metallurgical projects.

Słowa kluczowe

EN

real options; switch options; stochastic processes; investment decision; Monte Carlo simulation

PL

opcje realne; przełączniki; procesy stochastyczne; decyzja inwestycyjna; symulacja Monte Carlo

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2017
• Tom: Vol. 27, No. 2
• Strony: 91--111
• Opis fizyczny: Bibliogr.28 poz., rys.

Twórcy

autor

Rębiasz B.

• AGH University of Science and Technology, ul. Gramatyka 10, 30-067 Krakow, Poland

autor

Gaweł B.

• AGH University of Science and Technology, ul. Gramatyka 10, 30-067 Krakow, Poland

autor

Skalna I.

• AGH University of Science and Technology, ul. Gramatyka 10, 30-067 Krakow, Poland

Bibliografia

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Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę (zadania 2017).