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One of the application spheres of the real options is energy sector. The real option methodology application with possibility of sequential multinomial decision-making is described in the paper applied on the energy company problems. The stochastic dynamic Bellman's optimisation principle is explained and applied; moreover optimisation criterion of the present expected value is demonstrated and used. Likewise, option valuation approach on replication strategy and risk-neutral probability is described. Illustrative example of the application of the real multinomial flexible switch options methodology for three chosen modes is presented. The usefulness, effectiveness and suitability of application the generalized flexibility mode company valuation and evaluation projects were verified and confirmed. (original abstract)
Rocznik
Strony
351--364
Opis fizyczny
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autor
- VŠB-Technical University of Ostrava, Czech Republic
Bibliografia
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Bibliografia
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bwmeta1.element.ekon-element-000171271647