REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD
Real options can build a framework of thinking asset and have an adaptation to the valuation of nancial investment problems. Real options can also see the embedded value in investments so there are exibilities in order to handle the risk occurs. One of method valuation in real options is binomi...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/69635 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Real options can build a framework of thinking asset and have an adaptation to the
valuation of nancial investment problems. Real options can also see the embedded
value in investments so there are
exibilities in order to handle the risk occurs.
One of method valuation in real options is binomial CRR method as the idea of
creating replicating portofolios. By using modied of CRR Binomial method and
risk free interest rate stochastically, real options could be valuated for North Sea oil
eld with the price of crude oil from the period January 1995-July 2013. From the
calculations, the value of real options with stochastic interest rates indicates that
the value is more ecient than the calculation of the rate constant. |
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