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| Author: | Herath, H.S.B. Park, C.S. |
| Title: | Multi-stage capital investment opportunities as compound real options |
| Journal: | Engineering Economist
2002 : VOL. 47:1, p. 1-27 |
| Index terms: | CAPITAL INVESTMENT |
| Freeterms: | REAL OPTIONS |
| Language: | eng |
| Abstract: | The authors investigate a multi-stage project setting where each investment opportunity derives revenues from different markets but share common technological resources. In such a setting, one should consider the underlying asset volatility of each investment opportunity in a compound-options framework. In this paper, the authors extend the binomial lattice framework to model a multi-stage investment as a compound real option when several uncorrelated underlying variables exist. |
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