Real options model and application to the crude oil market

被引：0

作者：

Hernandez del Valle, Adrian ^{[1
]}

Martinez Garcia, Claudia Icela ^{[1
]}

机构：

[1] Inst Politecn Nacl, Secc Estudios Posgrado & Investigac, Escuela Super Econ, Mexico City 07738, DF, Mexico

来源：

TRIMESTRE ECONOMICO | 2007年 / 74卷 / 294期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We build a Conditional Real Options model VORC which allows for cashflows to be probabilistic and contingent on the average behavior of an external variable; and we apply our model to the crude oil market where the inflows on an investment project are contingent on the state of the base - the difference between the futures contract on an underlying asset and it's price for immediate delivery at present (or spot priced) -. Our main result is that the VORC, is a better criteria when evaluating projects with conditional, stochastic cashflows.

引用

页码：329 / 348

页数：20

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