Multiple volatility real option approach to investment under uncertainty

Atul Chandra

Research output: ThesisDoctoral Thesis

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Abstract

An innovative multiple volatility real options approach was developed to capture the value of flexibility in decision-making in investment projects exposed to multiple uncertainties. Specifically, the approach constructs a new real options decision-tree accommodating multiple uncertainties and contingent decision-making at various stages of a project. It provides practical solutions to the valuation of real-world projects subject to significant project-specific as well as market uncertainties, such as those in the resource sector. The thesis shows how this robust decision-making approach can create value for businesses both by allowing them to exploit opportunities and to avoid mistakes.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • The University of Western Australia
Supervisors/Advisors
  • Nair, Gopalan, Supervisor
  • Guj, Pietro, Supervisor
  • Harley, Peter, Supervisor
Thesis sponsors
Award date27 Mar 2018
DOIs
Publication statusUnpublished - 2018

Fingerprint

Investment under uncertainty
Real options
Decision making
Uncertainty
Investment project
Market uncertainty
Robust decision making
Resources
Decision tree

Cite this

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title = "Multiple volatility real option approach to investment under uncertainty",
abstract = "An innovative multiple volatility real options approach was developed to capture the value of flexibility in decision-making in investment projects exposed to multiple uncertainties. Specifically, the approach constructs a new real options decision-tree accommodating multiple uncertainties and contingent decision-making at various stages of a project. It provides practical solutions to the valuation of real-world projects subject to significant project-specific as well as market uncertainties, such as those in the resource sector. The thesis shows how this robust decision-making approach can create value for businesses both by allowing them to exploit opportunities and to avoid mistakes.",
keywords = "real option, compound option, multiple volatility, Monte Carlo simulation, enhanced net present value (ENPV), decision tree, simple option",
author = "Atul Chandra",
year = "2018",
doi = "10.4225/23/5ad02a28e9bf3",
language = "English",
school = "The University of Western Australia",

}

Chandra, A 2018, 'Multiple volatility real option approach to investment under uncertainty', Doctor of Philosophy, The University of Western Australia. https://doi.org/10.4225/23/5ad02a28e9bf3

Multiple volatility real option approach to investment under uncertainty. / Chandra, Atul.

2018.

Research output: ThesisDoctoral Thesis

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AB - An innovative multiple volatility real options approach was developed to capture the value of flexibility in decision-making in investment projects exposed to multiple uncertainties. Specifically, the approach constructs a new real options decision-tree accommodating multiple uncertainties and contingent decision-making at various stages of a project. It provides practical solutions to the valuation of real-world projects subject to significant project-specific as well as market uncertainties, such as those in the resource sector. The thesis shows how this robust decision-making approach can create value for businesses both by allowing them to exploit opportunities and to avoid mistakes.

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KW - compound option

KW - multiple volatility

KW - Monte Carlo simulation

KW - enhanced net present value (ENPV)

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