Publication
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
Volume/pages
31:5-6(2011), p. 240-255
ISI
000290425800005
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 11.04.2011
Last edited 27.11.2017
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