Real options - realistic valuation

dc.contributor.author	Capiński, Marek
dc.contributor.author	Patena, Wiktor
dc.date.accessioned	2013-07-09T11:21:24Z
dc.date.available	2013-07-09T11:21:24Z
dc.date.issued	2003
dc.description.abstract	In valuation of real options, a widely accepted assumption is that the underlying real asset is perfectly correlated with a financial one. As a result, valuation techniques from the financial world can be used. Since this assumption is in general unrealistic and may lead to substantial mispricing, even if the correlation is very high but not perfect, we argue that a different approach is more adequate. It is based on a simple principle of invariance of the market price of risk computed for certain portfolios involving the underlying asset and the options. This is illustrated on a simple model where we can clearly see the relations between the prices obtained by various methods.	pl
dc.identifier.citation	Capinski, Marek and Patena, Wiktor, Real Options - Realistic Valuation (June 12, 2003). Available at SSRN: http://ssrn.com/abstract=476721 or http://dx.doi.org/10.2139/ssrn.476721	pl
dc.identifier.uri	http://hdl.handle.net/11199/317
dc.language.iso	en	pl
dc.rights	open access
dc.subject	real options	pl
dc.subject	Sharpe Index	pl
dc.subject	market price of risk	pl
dc.title	Real options - realistic valuation	pl
dc.type	article	pl

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Nazwa:: Patena Wiktor, Capiński Marek, Real Options - Realistic Valuation.pdf
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