Koncepcja addytywnego procesu zmian instrumentu pierwotnego w dyskretnym modelu wyceny opcji rzeczowych

• Autorzy: Piotr Saługa

Warianty tytułu

Idea of Additive Underlying Process in the Discrete Model of Real Option Valuation

• Języki publikacji: PL

Abstrakty

Przedmiot badań stanowi proces stochastyczny opisujący zmiany instrumentu pierwotnego opcji rzeczowych. (...) Celem badań jest propozycja obrazowania tych zmian za pomocą modelu drzewa addytywnego, które stanowi dwumianową aproksymację arytmetycznego ruchu Browna.(fragment tekstu)

EN

Identification af proccss deseribing time changes of an underlying asset is the basic task of the real options valuation. The fundamental assumption of the options theory is that underlying instrument follows the stochastic process called Geometric Brownian Motion (GEM). The GBM concept comes from an idea or Arithmetic Brownian Motion which was introduced by French mathematician Louis Bachelier in 1900. He was the first who used stochastic process to dcscribe stock prices behavior with time. Unfortunately, the ABM premise for dcscribing stock values process was unrealistic - prices can go negative and are distributed in the normal manner. This shortcoming was overcome in the early 60s - first Osborne (1959, 1962) and then - independently - Samuelson (1965) modified the ABM, introducing the GBM. The last does not allow prices go negative and the distribution of process and values is lognormal. Introducing GBM was crucial for the forthcoming options theory. Its idea served Black, Scholes, and Merton for developing the famous Black-Scholes formula for financial option valuation. It was also borrowed as a fundamental assumption by the arising real options theory. The paper revises this idea. The underlying asset in the real options valuation is the present value of the project. Such value can yet go negative so that it should be rather dcscribed with the ABM. Apart from the ABM idea the text presents binomial approximation the process and its applicalion in the real options valuation. (original abstract)

Słowa kluczowe

PL

Opcje rzeczowe; Modele wyceny

EN

Real option; Pricing models

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2011
• Numer: nr 74 Inwestycje i nieruchomości : wybrane zagadnienia
• Strony: 117--136

Twórcy

autor

Piotr Saługa

Bibliografia

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