The valuation of exit option in a lignite mine using Monte Carlo simulation

• Autorzy: Pawlak Marcin , Wiśniewski Tomasz

Identyfikatory

DOI

10.46873/2300-3960.1405

• Języki publikacji: EN

Abstrakty

EN

This study aims to demonstrate the application of simulation techniques to the valuation of real options. The nature of the paper is methodological and empirical. The purpose of the valuation of the option to close a lignite mine in Poland is to demonstrate the methodology and advantages of employing Monte Carlo simulation in the valuation of real options. Close to actual numerical data reveals a complex optimization problem in the context of strategy selection by decisionmakers. Numerous factors (extraction costs, reclamation costs, the write-off for the reclamation fund, etc.), their interpenetration and multilevel influence on the decision to close the mine early enables simulation methods to demonstrate their valuation capabilities. The valuation techniques used in the paper, particularly the simulation comparative valuation method, are described in detail and are rooted in the literature and theory of finance.

Słowa kluczowe

EN

real options; Monte Carlo simulation; project valuation; lignite mine; exit option

PL

opcje rzeczywiste; symulacja Monte Carlo; wycena projektu; kopalnia węgla brunatnego; opcja wyjścia

• Wydawca: Elsevier ; Główny Instytut Górnictwa
• Czasopismo: Journal of Sustainable Mining
• Rocznik: 2024
• Tom: Vol. 23, iss. 1
• Strony: 40--54
• Opis fizyczny: Bibliogr. 24 poz.

Twórcy

autor

Pawlak Marcin

• University of Szczecin, Department of Banking and Finance, Poland

• https://orcid.org/0000-0003-4124-1698

autor

Wiśniewski Tomasz

• University of Szczecin, Department of Banking and Finance, Poland

• https://orcid.org/0000-0003-3423-5572

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