| Course Unit Code | 154-0309/04 |
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| Number of ECTS Credits Allocated | 3 ECTS credits |
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| Type of Course Unit * | Choice-compulsory type B |
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| Level of Course Unit * | Second Cycle |
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| Year of Study * | Second Year |
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| Semester when the Course Unit is delivered | Winter Semester |
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| Mode of Delivery | Face-to-face |
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| Language of Instruction | Czech |
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| Prerequisites and Co-Requisites | |
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| Prerequisities | Course Unit Code | Course Unit Title |
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| 154-0325 | Financial Models |
| Name of Lecturer(s) | Personal ID | Name |
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| CUL33 | doc. Ing. Miroslav Čulík, Ph.D. |
| Summary |
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| Real options is a flexible approach for decision making on real assets, where assets are valued by using financial option pricing models. The main idea relies on the possibilities to make future decisions with option characteristics and can be exercised under pre-specified conditions. It is necessary to identify these options, value them and comprise them into company decision-making process. |
| Learning Outcomes of the Course Unit |
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Aim of the course is to teach students to employ real option methodology in selected areas of financial decision-making.
Course will enables the students:
- to apply new approach for problem solutions of valuation and decisio-making,
- to evaluate and compare its advantages in comparison to traditional methods,
- to propose optimal decisions for a firm under the risk. |
| Course Contents |
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1. Introduction - option types, poarameters, intrinsic value, payoff function.
2. Option valuation models (models classification, assumption, 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. |
| Recommended or Required Reading |
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| Required Reading: |
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DiLELLIO, James: Real Option Modeling and Valuation: A Decision Analysis Approach Using DPL and Excel. London: Independently published, 2022. 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, 2019. 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.
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ČULÍK, Miroslav. Aplikace reálných opcí v investičním rozhodování firmy. SAEI, Vol. 19. Ostrava: VŠB-TU Ostrava, 2013. 198 s. ISBN 978-80-248-3069-8.
DLUHOŠOVÁ, Dana a kol. Finanční řízení a rozhodování podniku. 4. dopl. vyd. Praha: Ekopress, 2021. 225 s. ISBN 978-80-86929-68-2.
MUN, Jonathan: Advanced Analytical Models + DVD. New York: Wiley, 2008. 1013 p. ISBN 978-0-470-17921-5.
REAL OPTION VALUATION SLS SOFTWARE 2016 – výukový software |
| Recommended Reading: |
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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, 2022.
624 pp. ISBN 978-1118397435.
SCHONE, M. Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling. Berlin: Springer, 2022. 118 pp. ISBN 978-3658074920.
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MUN, Jonathan: Modeling Risk: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, Portfolio Optimization, Data Analytics, Business Intelligence, and Decision Modeling. London: ROV Press; 2019. 1114 pp. ISBN 978-1734497359.
SHOCKLEY, Robert. An Applied Course in Real Options Valuation. New York: South-Western College Pub, 2017. 544 pp. ISBN 978-0324259636.
SMIT, John and Lenos TRIGEROGIS. Strategic Investment: Real Options and Games. New York: Princeton University Press, 2022. 504 pp. ISBN 978-1400829392.
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| Planned learning activities and teaching methods |
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| Lectures |
| Assesment methods and criteria |
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| Task Title | Task Type | Maximum Number of Points
(Act. for Subtasks) | Minimum Number of Points for Task Passing |
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| Examination | Examination | 100 | 51 |