Are Real Options "Real"? Isolating Uncertainty from Risk in Real Options Analysis
2013/01/08
研討會日期 : 2013-01-08
時間 : 14:30
主講人 : Professor Leh-Chyan So
地點 : Conference Room B110
演講者簡介 : Leh-Chyan So received her Ph.D. in International Business from National Taiwan University in 2004. She is currently serving as Assistant Professor of Quantitative Finance at National Tsing Hua University. Her research field is in asset pricing, financial engineering and international finance.
演講摘要 : An adjusted Black-Scholes pricing formula is derived in this paper. In separating risk and uncertainty by using the robust control technique, we find that uncertainty as well as risk raises management’s subjective evaluation of real options. We suggest a simple method to filter the risk of the project and to acquire a more reliable value of the real options without the influence of uncertainty. In addition, we propose that an investment opportunity may be postponed inappropriately, since under uncertainty the exercise of investment may be delayed by the project manager.
