Regression sensitivity analysis for cash flow simulation based real option valuation

Research output: Contribution to journalArticle

Standard

Regression sensitivity analysis for cash flow simulation based real option valuation. / Haahtela, Tero.

In: PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES, Vol. 2, No. 6, 2010, p. 7670-7671.

Research output: Contribution to journalArticle

Harvard

APA

Vancouver

Author

Bibtex - Download

@article{30845e4338c94ec0b152efe3e31db7be,
title = "Regression sensitivity analysis for cash flow simulation based real option valuation",
abstract = "Sensitivity analysis on financial options considers how the solution changes because of a change in one of the key parameters (underlying asset value, volatility, exercise price, interest rate, time to maturity, dividends). In case of real option valuation with cash flow simulation, however, these are mostly indirect variables which are computed based on the uncertain direct variables – e.g. demand, unit selling price, and unit costs - in the cash flow calculation. The method presented detects the most significant primary variables, and based on this analysis, shows how changes in the direct uncertainties can be used to estimate with the response surface method the simultaneous changes in the indirect parameters defining the underlying asset process and thus the real option value.",
keywords = "sensitivity analysis, cash flow simulation, real options",
author = "Tero Haahtela",
year = "2010",
doi = "10.1016/j.sbspro.2010.05.171",
language = "English",
volume = "2",
pages = "7670--7671",
journal = "PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES",
issn = "1877-0428",
publisher = "Elsevier",
number = "6",

}

RIS - Download

TY - JOUR

T1 - Regression sensitivity analysis for cash flow simulation based real option valuation

AU - Haahtela, Tero

PY - 2010

Y1 - 2010

N2 - Sensitivity analysis on financial options considers how the solution changes because of a change in one of the key parameters (underlying asset value, volatility, exercise price, interest rate, time to maturity, dividends). In case of real option valuation with cash flow simulation, however, these are mostly indirect variables which are computed based on the uncertain direct variables – e.g. demand, unit selling price, and unit costs - in the cash flow calculation. The method presented detects the most significant primary variables, and based on this analysis, shows how changes in the direct uncertainties can be used to estimate with the response surface method the simultaneous changes in the indirect parameters defining the underlying asset process and thus the real option value.

AB - Sensitivity analysis on financial options considers how the solution changes because of a change in one of the key parameters (underlying asset value, volatility, exercise price, interest rate, time to maturity, dividends). In case of real option valuation with cash flow simulation, however, these are mostly indirect variables which are computed based on the uncertain direct variables – e.g. demand, unit selling price, and unit costs - in the cash flow calculation. The method presented detects the most significant primary variables, and based on this analysis, shows how changes in the direct uncertainties can be used to estimate with the response surface method the simultaneous changes in the indirect parameters defining the underlying asset process and thus the real option value.

KW - sensitivity analysis

KW - cash flow simulation

KW - real options

U2 - 10.1016/j.sbspro.2010.05.171

DO - 10.1016/j.sbspro.2010.05.171

M3 - Article

VL - 2

SP - 7670

EP - 7671

JO - PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES

JF - PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES

SN - 1877-0428

IS - 6

ER -

ID: 11690832