The real options approach to valuation - Haskayne School of Business

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Basic Ideas about Real Op*ons
Page 1 and 2: The Real Op*ons Approach to Va
Page 3: Outline of Talk • Basic ideas
Page 7 and 8: Investment Projects as Op*ons 1.
Page 9 and 10: Tradi*onal Valua*on Tools (DCF)
Page 11 and 12: Tradi*onal Approach: NPV • Risk
Page 13 and 14: Simple Example • Consider a si
Page 15 and 16: These Results are General Cox a
Page 17: Op*on Pricing Theory introduced
Page 20 and 21: Real Op*ons Valua*on (1) • Ris
Page 22 and 23: Real Op*ons Valua*on (2) • Ris
Page 24 and 25: Summary: Real Op*ons Valua*on
Page 26 and 27: Solu*on Methods (1) • Dynamic
Page 28 and 29: Solu*on Methods (3) • Simula*on
Page 30 and 31: Valuing American Op*ons by Simu
Page 32: Natural Resource Investments
Page 37 and 38: Three Factor Model: Risk Neutra
Page 39 and 40: 40Oil Futures 10/12/00Three-Factor
Page 41: Recent work on Commodi*es • Tw
Page 46 and 47: Evidence of unspanned stochas*c
Page 48: Procedure • Thus, factors that
Page 51 and 52: Pricing expropria*on risk in na
Page 53 and 54: Expropria*on Trade-‐off • Go
Page 55 and 56:
Solu*on Procedure • Expropria*on
Page 57 and 58:
R&D Investments Focus has been the
Page 59 and 60:
• There is a trade-‐off b
Page 61 and 62:
TuVs Center for the Study of
Page 63 and 64:
Pfizer ‘Youth Pill’ Ate Up
Page 65 and 66:
Success story: Lipitor from Pfi
Page 67 and 68:
Patents and R&D as Real Op*ons
Page 69 and 70:
Approach • R&D project takes *
Page 71 and 72:
Investment Cost Uncertainty Expec
Page 73 and 74:
Value of Project once Investmen
Page 75:
Value of the Investment Opportun
Page 79:
R&D Investments with Compe**ve
Page 83 and 84:
A Model of R&D Valua*on and t
Page 85 and 86:
Current Literature • No analy*c
Page 87 and 88:
Analyzing Incen*ve Contracts •
Page 89:
We seek to answer five cri*cal
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The real options approach to valuation - Haskayne School of Business

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