Valuing Managerial Flexibility : an Application of Real-Option Theory to Steel Industry Investments

• Autorzy: Bogdan Rębiasz , Bartłomiej Gaweł , Iwona Skalna
• 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. (original abstract)

Słowa kluczowe

PL

Opcje realne; Procesy stochastyczne; Decyzje inwestycyjne; Symulacja Monte Carlo; Przemysł stalowy

EN

Real options; Stochastic processes; Investment decisions; Monte Carlo simulation; Steel industry

• Czasopismo: Operations Research and Decisions
• Rocznik: 2017
• Tom: 27
• Numer: nr 2
• Strony: 91-111

Twórcy

autor

Bogdan Rębiasz

• AGH University of Science and Technology Kraków, Poland

autor

Bartłomiej Gaweł

• AGH University of Science and Technology Kraków, Poland

autor

Iwona Skalna

• AGH University of Science and Technology Kraków, Poland

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Identyfikatory

DOI

10.5277/ord170206