文章基本信息

标题：Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement
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作者：Kim, Yonggu ; Shin, Keeyoung ; Ahn, Joseph 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2017
卷号：9
期号：10
页码：1-16
出版社：MDPI, Open Access Journal
摘要：This research determines the optimal investment timing using real options valuation to support decision-making for economic sustainability assessment. This paper illustrates an option pricing model using the Black-Scholes model applied to a case project to understand the model performance. Applicability of the project to the model requires two Monte Carlo simulations to satisfy a Markov process and a Wiener process. The position of project developers is not only the seller of products, but it is also the buyer of raw materials. Real options valuation can be influenced by the volatility of cash outflow, as well as the volatility of cash inflow. This study suggests two-color rainbow options valuation to overcome this issue, which is demonstrated for a steel plant project. The asymmetric results of the case study show that cash outflow (put option) influences the value of the steel plant project more than cash inflow (call option) does of which the discussion of the results is referred to a sensitivity analysis. The real options valuation method proposed in this study contributes to the literature on applying the new model, taking into consideration that investors maximize project profitability for economic sustainable development.
关键词：economic sustainability appraisement; Monte Carlo simulation; probabilistic cash flow; rainbow real options; optimal investment timing