|
Title
|
|
|
|
Compound real option valuation with phase-specific volatility : a multi-phase mobile payments case study
|
|
|
Author
|
|
|
|
|
|
|
Abstract
|
|
|
|
| Multi-staged R&D projects are copy-book cases of compound real options. Traditional compound option models assume a constant volatility over the lifetime of the project. Building on the n-fold compound option model of Cassimon et al. (2004), we extend this model to allow for phase-specific volatility estimates, while preserving the closed-form solution of the model. We illustrate the extended model with a case study of a real option valuation of a multi-stage software application project by a large mobile phone operator and we show how project managers can estimate phase-specific volatilities. |
|
|
|
Language
|
|
|
|
English
|
|
|
Source (journal)
|
|
|
|
Technovation / Union Carbide. Chemicals Division. - Calcutta
|
|
|
Publication
|
|
|
|
Calcutta
:
2011
|
|
|
ISSN
|
|
|
|
0166-4972
|
|
|
DOI
|
|
|
|
10.1016/J.TECHNOVATION.2010.12.004
|
|
|
Volume/pages
|
|
|
|
31
:5-6
(2011)
, p. 240-255
|
|
|
ISI
|
|
|
|
000290425800005
|
|
|
Full text (Publisher's DOI)
|
|
|
|
|
|
|
Full text (publisher's version - intranet only)
|
|
|
|
|
|