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Application and usage of real options in finance

Type of study Doctoral
Language of instruction English
Code 154-9521/01
Abbreviation AVROFa
Course title Application and usage of real options in finance
Credits 10
Coordinating department Department of Finance
Course coordinator doc. Ing. Miroslav Čulík, Ph.D.

Subject syllabus

1. Introduction - option types, parameters, intrinsic value, payoff function.
2. Option valuation models (models classification, assumptions, application possibilities).
3. Real options - fundamental terms, analogy to financial options, real options types, parameters.
4. Real options – risk and flexibility in valuation, project valuation (passive and active approach).
5. Solution of selected issues and problems by using Real Option Valuation SLS 2016.
6. Valuation of portfolio of real options - description, valuation possibilities, solution of selected problems.
7. Valuation of portfolio of real options – impact of correlation on subaditivity of real option values.
8. Valuation of real options with multiple sources of uncertainty.
9. Valuation of selected exotic real options by using Valuation SLS 2016.
10. Valuation of real options with changing volatility.
11. Valuation of selected real options by using Real Option Valuation SLS 2016.
12. Valuation of selected real options on the basis of simulation.

Literature

DiLELLIO, James. Real Option Modeling and Valuation: A Decision Analysis Approach Using DPL and Excel. London: ‎ Independently published, 2018. 136 pp. ISBN 978-1521238592 .
MUN, Jonathan: Real Options Analysis: Tools and Techniques for Valuing Strategic Investments and Decisions with Integrated Risk Management and Advanced Quantitative Decision Analytics. London: ROV Press, 2016. 695 pp. ISBN 978-1734497359 .
MUN, Jonathan: Applied Analytical - Applied Project Management: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, Portfolio management, Project Management.‎ ‎New York: IIPER Press, 2020. 143 pp. ISBN 978-1734481150 .

Advised literature

JACKSON, Liam, et al. Applied Analytical - Oil and Gas Decommissioning Risk Management: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Analytics. London: IIPER Press, 2020. 266 pp. ISBN 978-1734481174 .
LARRABEE, T. a J. VOSS. Valuation Techniques: Discounted Cash Flow, Earnings Quality, Measures of Value Added, and Real Options. New York: Wiley, 2012.
624 pp. ISBN 978-1118397435 .
SCHONE, M. Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling. Berlin: Springer, 2015. 118 pp. ISBN 978-3658074920 .


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