{"title":"Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility","authors":"R. F. Suwarman","doi":"10.29313/jmtm.v18i2.5138","DOIUrl":null,"url":null,"abstract":"Abstract. Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics. Real options are techniques for supporting capital budgeting decisions that adapt techniques developed for financial securities options. The purpose of using this real option is to capture the options contained in projects that cannot be captured by the discounted cash flow model which operates as a basic framework for almost all financial analyzes. The process of valuing real options will be complemented by the stochastic interest rate and stochastic volatility to better capture the flexibility and volatility of the existing economic and financial situation. The valuation will use a Monte Carlo simulation with the MATLAB programming language on crude oil data from the North Sea oil field. Data were obtained from the thesis of Charlie Grafström and Leo Lundquist with the title \"Real Option Valuation vs. DCF Evaluation – An Application to a North Sea oilfield\".Keyword: real options, stochastic interest rate model, stochastic volatility model, simulation","PeriodicalId":43733,"journal":{"name":"Matematika","volume":null,"pages":null},"PeriodicalIF":0.3000,"publicationDate":"2019-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Matematika","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.29313/jmtm.v18i2.5138","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract. Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics. Real options are techniques for supporting capital budgeting decisions that adapt techniques developed for financial securities options. The purpose of using this real option is to capture the options contained in projects that cannot be captured by the discounted cash flow model which operates as a basic framework for almost all financial analyzes. The process of valuing real options will be complemented by the stochastic interest rate and stochastic volatility to better capture the flexibility and volatility of the existing economic and financial situation. The valuation will use a Monte Carlo simulation with the MATLAB programming language on crude oil data from the North Sea oil field. Data were obtained from the thesis of Charlie Grafström and Leo Lundquist with the title "Real Option Valuation vs. DCF Evaluation – An Application to a North Sea oilfield".Keyword: real options, stochastic interest rate model, stochastic volatility model, simulation
摘要自1977年麻省理工学院斯隆管理学院的Stewart C. Myers在《金融经济学杂志》上发表了关于实物期权的开创性文章以来,实物期权一直是金融领域最有趣的研究课题之一。实物期权是支持资本预算决策的技术,它适应了为金融证券期权开发的技术。使用实物期权的目的是获取项目中包含的期权,这些期权不能被贴现现金流量模型所捕获,贴现现金流量模型是几乎所有财务分析的基本框架。对实物期权进行估值的过程将辅以随机利率和随机波动率,以更好地反映现有经济和金融状况的灵活性和波动性。评估将使用蒙特卡罗模拟和MATLAB编程语言对北海油田的原油数据进行模拟。数据来自Charlie Grafström和Leo Lundquist的论文“实物期权估值与DCF评估-在北海油田的应用”。关键词:实物期权,随机利率模型,随机波动率模型,仿真