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A graphical method for valuing switching options / B. R. Cobb in Journal of the operational research society (JORS), Vol. 61 N° 11 (Novembre 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 11 (Novembre 2010) . - pp. 1596–1606 Titre : A graphical method for valuing switching options Type de document : texte imprimé Auteurs : B. R. Cobb, Auteur ; J. M. Charnes, Auteur Année de publication : 2011 Article en page(s) : pp. 1596–1606 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Capital  budgeting  Decision  analysis  Decision  support  systems  Finance  Networks  and  graphs  Probability Index. décimale : 001.424 Résumé : This paper introduces a graphical method for valuing options on real asset investments that allow the investor to switch between different operating modes at a single point-in-time. The technique uses mixtures of truncated exponential functions to approximate both the probability density function for project value and the expressions for option value of each alternative. The distribution for project value is transformed into an expected cash flow function for the option under each mode of operation. After determining an optimal exercise strategy, these functions are used to determine the option value. The graphical method allows the option exercise strategy to be communicated effectively through a graphical representation of the expected cash flow functions. A comparison of this approach to the existing binomial lattice method is presented. The efficiency of the graphical method is comparable to the binomial lattice and in some cases accurate solutions can be obtained with less CPU time. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n11/abs/jors2009128a.html [article] A graphical method for valuing switching options [texte imprimé] / B. R. Cobb, Auteur ; J. M. Charnes, Auteur . - 2011 . - pp. 1596–1606. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 11 (Novembre 2010) . - pp. 1596–1606 Mots-clés : Capital  budgeting  Decision  analysis  Decision  support  systems  Finance  Networks  and  graphs  Probability Index. décimale : 001.424 Résumé : This paper introduces a graphical method for valuing options on real asset investments that allow the investor to switch between different operating modes at a single point-in-time. The technique uses mixtures of truncated exponential functions to approximate both the probability density function for project value and the expressions for option value of each alternative. The distribution for project value is transformed into an expected cash flow function for the option under each mode of operation. After determining an optimal exercise strategy, these functions are used to determine the option value. The graphical method allows the option exercise strategy to be communicated effectively through a graphical representation of the expected cash flow functions. A comparison of this approach to the existing binomial lattice method is presented. The efficiency of the graphical method is comparable to the binomial lattice and in some cases accurate solutions can be obtained with less CPU time. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n11/abs/jors2009128a.html