Um Modelo de Opções Reais com Investimento Incerto e Seqüencial e com Tempo para Construir

Martins, Guilherme Brandão; Silva, Marcos Eugênio da

doi:10.12660/rbfin.v3n2.2005.1148

Cited by 3 publications

(1 citation statement)

References 18 publications

(19 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Few studies simultaneously discuss the development and sales of real estate. Furthermore, according to the research of Bar-Ilan and Strange (1998), Martins and da Silva (2005) and Friedl (2002), when considering the sequential investment and time to build options, the impact of uncertainty on investment timing may be different to what is found in traditional "real option" literature. Most existing studies follow the assumptions of Capozza and Helsley (1990), and Dixit and Pindyck (1994), whereby investment is immediate.…”

Section: Literature Reviewmentioning

confidence: 98%

Timing Decisions of Housing Sales and Development Based on Real Option Theory

Zhang

Shi

Chang

et al. 2020

International Journal of Strategic Property Management

View full text Add to dashboard Cite

Based on the real option theory, this paper studies the impact of uncertainty on the timing decisions required in housing development and sales. Data of newly-built houses and corresponding plots in Hangzhou, China, are used for empirical analysis. In order to better reflect the changes in market demand under frequent policy intervention, in addition to the usual price volatility, this paper introduces the volatility of trading volume to measure the uncertainty of China’s real estate market. The results show that the volatility of trading volume has a significant impact on timing decisions. Also, trading volume volatility can better reflect the characteristic of deferred option than can price volatility, especially during the sales phase. This study provides evidence to support Bar-Ilan and Strange’s (1998) research of sequential investment. Because of the existence of the second option, i.e., sales timing, the starts in the first stage are not too sensitive to uncertainty. In the case of the second option, the longer the construction period is, and the lower the cost of the first stage is, the higher will be the probability of triggering the start. In addition, the characteristics of market risk aversion are obvious in the study area, especially in the suburban area.

show abstract

Section: Literature Reviewmentioning

confidence: 98%

Timing Decisions of Housing Sales and Development Based on Real Option Theory

Zhang

Shi

Chang

et al. 2020

International Journal of Strategic Property Management

View full text Add to dashboard Cite

show abstract

Production and spatial distribution of switchgrass and miscanthus in the United States under uncertainty and sunk cost

2017

View full text Add to dashboard Cite

The U.S. cellulosic biofuel mandate has not been enforced in recent years. Uncertainty surrounding the enforcement of the mandate in addition to high production and harvest cost have contributed to a delay in the widespread planting of bioenergy crops such as switchgrass and miscanthus. Previous literature has shown that under uncertainty and sunk cost, an investment threshold is further increased due to the value associated from holding the investment option. In this paper, we extend the previous literature by applying a real option switching model to bioenergy crop production. First, we calculate the county-level breakeven price which triggers a switching away from traditional field crops (corn, soybeans, and wheat) to bioenergy crops under various scenarios differing by commodity prices, production cost and biomass price expectations. We show that the resulting break-even prices at the county-level can be substantially higher than previously estimated due to the inclusion of the option value. In a second step, we identify counties that are most likely to grow switchgrass or miscanthus by simulating a stochastic biomass price over time. Our results highlight two issues: First, switchgrass or miscanthus are not grown in the Midwest under any scenario. Under low agricultural residue removal rates, biomass crops are mostly grown in the Southeast. Second, under the assumption of a high removal rates, bioenergy crops are not grown anywhere in the U.S. since the cellulosic biofuel mandate can be covered by agricultural residues.

show abstract

Investment under uncertainty in new technology with time-to-build in perspective of learning

Xing

2009

2009 International Conference on Management Science and Engineering

View full text Add to dashboard Cite

Time to build is a characteristic of most of new technology project mainly caused by physical or financial limitations. So, decision-makers have to take account the internal technical uncertainties of the project into when making investment choices instead of considering only external market conditions. This paper analyzes the implicit mechanism underpinning the new technology sequential investment decision in perspective of the patterns and efficiency of different learning in resolving or reducing different types of uncertainty. Especially, this paper introduces the learning heterogeneity in the resolution efficiency of technical uncertainty, which is compensatively determined by learning capability, accumulated and expanded learning effect. Adopting the real options approach, the mathematical model is constructed and solved by numerical method, with comparative static analysis conducted as well. According to this, I expect to give more insight into the investment mechanism of and provide rational decision-making guideline for new technology projects.

show abstract

Um Modelo de Opções Reais com Investimento Incerto e Seqüencial e com Tempo para Construir

Cited by 3 publications

References 18 publications

Timing Decisions of Housing Sales and Development Based on Real Option Theory

Timing Decisions of Housing Sales and Development Based on Real Option Theory

Production and spatial distribution of switchgrass and miscanthus in the United States under uncertainty and sunk cost

Investment under uncertainty in new technology with time-to-build in perspective of learning

Contact Info

Product

Resources

About