Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Random start American perpetual options
KTH, School of Architecture and the Built Environment (ABE), Centres, Centre for Banking and Finance, Cefin.ORCID iD: 0000-0003-4454-474X
(English)Manuscript (preprint) (Other academic)
Abstract [en]

The valuation of American perpetual options with the property that they are only possible to exercise after a random time has occured are considered. One situation where this feature is present is when we want to value the real option of when to build on vacant land and we are waiting for a permit. This and a version of an abandonment option are our two applications of this model.

Keyword [en]
Real options, American options, Perpetual options
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-188141OAI: oai:DiVA.org:kth-188141DiVA: diva2:933612
Note

QC 20160607

Available from: 2016-06-07 Created: 2016-06-07 Last updated: 2016-09-02Bibliographically approved
In thesis
1. Waiting in real options with applications to real estate development valuation
Open this publication in new window or tab >>Waiting in real options with applications to real estate development valuation
2016 (English)Licentiate thesis, comprehensive summary (Other academic)
Abstract [en]

In this thesis two dierent problems regarding real options are studied. The rst paper discusses the valuation of a timing option in an irreversible investment when the underlying model is incomplete. It is well known that in a complete model there is no nite optimal time at which to invest if the underlying asset, in our case the value of the developed project, does not pay out any strictly positive cash ows. In an incomplete model, the situation is dierent. Depending on the market price of risk in the model, there could be an optimal nite investment time even though the underlying asset does not pay out any strictly positive cash ows. Several examples of incomplete models are analyzed, and the value of the investment opportunity is calculated in each of them. The second paper concerns the valuation of random start American perpetual options. This type of perpetuate American option has the feature that it can not be exercised until a random time has occured. The reason for studying this type of option is that it provides a way of modelling the initiating of a project, e.g. the optimal time to build on a piece of land, which can not occur until a permit, or some other form of clearance, is given. The random time in the project application represents the time at which the permit is given. Two concrete examples of how to calculate the value of random start options is given.

Place, publisher, year, edition, pages
Stockholm: KTH Royal Institute of Technology, 2016. 12 p.
Series
TRITA-KTH-CEFIN-SR, ISSN 1653-7335 ; 03
Keyword
Real options, Incomplete markets
National Category
Economics and Business
Research subject
Real Estate and Construction Management
Identifiers
urn:nbn:se:kth:diva-188145 (URN)978-91-87111-06-8 (ISBN)
Presentation
2016-06-15, Rum 2166, Brinellvägen 1, KTH-Campus, Stockholm, 15:00 (English)
Opponent
Supervisors
Note

QC 20160607

Available from: 2016-06-07 Created: 2016-06-07 Last updated: 2016-07-08Bibliographically approved

Open Access in DiVA

fulltext(555 kB)25 downloads
File information
File name FULLTEXT01.pdfFile size 555 kBChecksum SHA-512
eddae7f983305ba8d897646eb410f7c78c1055c87a9cc04d3c4855b8e49e39cee17d1cf08f6c1178645df44933e2a6a0db130d1e491ac30c2bdd21deaefe8449
Type fulltextMimetype application/pdf

Authority records BETA

Armerin, Fredrik

Search in DiVA

By author/editor
Armerin, Fredrik
By organisation
Centre for Banking and Finance, Cefin
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar
Total: 25 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 59 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf