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A Pragmatic Guide to Real OptionsReal Option Analysis and the Black-Scholes Model

A Pragmatic Guide to Real Options: Real Option Analysis and the Black-Scholes Model [The contribution of the Black-Scholes Model (BSM, 1973; Merton, 1973) to the field of finance has been enormous. There are a number of extensions to the model (see Haug, 2007) to allow it to be applied to options on securities other than stocks that do not pay dividends. However, although the BSM has been applied to perform real option analysis, it does not work very well for valuing real options.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Pragmatic Guide to Real OptionsReal Option Analysis and the Black-Scholes Model

Arnold, Tom
Springer Journals — Nov 12, 2015
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15 pages

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Publisher
Palgrave Macmillan US
Copyright
© Palgrave Macmillan, a division of Nature America Inc. 2014
ISBN
978-1-349-48301-3
Pages
167 –182
DOI
10.1057/9781137391162_8
Publisher site
See Chapter on Publisher Site

Abstract

[The contribution of the Black-Scholes Model (BSM, 1973; Merton, 1973) to the field of finance has been enormous. There are a number of extensions to the model (see Haug, 2007) to allow it to be applied to options on securities other than stocks that do not pay dividends. However, although the BSM has been applied to perform real option analysis, it does not work very well for valuing real options.]

Published: Nov 12, 2015

Keywords: Cash Flow; Real Option; Future Contract; Strike Price; Future Cash Flow

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