154-0509/01 – Real Options Application (AROe)

Gurantor departmentDepartment of FinanceCredits3
Subject guarantordoc. Ing. Miroslav Čulík, Ph.D.Subject version guarantordoc. Ing. Miroslav Čulík, Ph.D.
Study levelundergraduate or graduateRequirementChoice-compulsory
Year2Semesterwinter
Study languageEnglish
Year of introduction2010/2011Year of cancellation
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
CUL33 doc. Ing. Miroslav Čulík, Ph.D.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Examination 2+0

Subject aims expressed by acquired skills and competences

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.

Teaching methods

Lectures

Summary

Real options is a flexible approach for decision making about 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 firm decision process.

Compulsory literature:

GUTHRIE, Graeme. Real Options in Theory and Practice. New York: Oxford University Press, 2006. 432 p. ISBN 978-0195380637. MUN, Jonathan. Real Options Analysis. New York: Wiley, 2016. 704 p. ISBN 978-0471747482. REAL OPTION VALUATION SLS 2016 SOFTWARE – výukový software COPELAND, T. E., ANTIKAROV, V. (2003). Real Options, Revised Edition: A Practitioner's Guide. 2st Ed. New York: Texere. COPELAND, T. E., WESTON, J. F., SHASTRI, K. (2004). Financial Theory and Corporate Policy. 4th Ed. New York: Addison Wesley. TRIGEORGIS, L. (1999). Real Options and Business Strategy: Applications to Decision Making. London: Riskbooks. TRIGEORGIS, L., MASON, S. P. (1987). Valuing managerial flexibility. Midland Corporate Financial Journal 5(1): 14–21. TRIGEORGIS, L., SCHWARTZ, E. S. (2001). Real Options and Investments under Uncertainty. Cambridge: MIT Press. TRIGEORGIS, L., SMITH, H. T. J. (2004). Strategic Investment: Real Options and Games. New York: Princeton University Press.

Recommended literature:

LARRABEE, David a Jason VOSS. Valuation Techniques: Discounted Cash Flow, Earnings Quality, Measures of Value Added, and Real Options. New York: Wiley, 2013. 608 p. ISBN 978-118-39743-5. SHOCKLEY, Robert. An Applied Course in Real Options Valuation. New York: South-Western College Pub, 2006. 544 p. ISBN 978-0324259636. SMIT, John a Lenos TRIGEROGIS. Strategic Investment: Real Options and Games. New York: Princeton University Press, 2012. 504 p. ISBN 978-1400829392. FRIEDL, G. (2010). Real Options and Investment Incentives. 1st Ed. Springer. HOEK, J., ELLIOT, R.J. (2005). Binomial Models in Finance. 1st Ed. Springer. MUN, J. (2010). Modeling Risk: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization. 2nd Ed. New York: Wiley. ROGERS, J. (2009). Strategy, Value and Risk: The Real Options Approach. 2nd Ed. Palgrave Macmillan. SHIBATA, T. (2008). The impacts of uncertainties in a real options model under incomplete information. European Journal of Operational Research, 187 (3), pp.1368-1379. SHOCKLEY, R.L. (2006). An Applied Course in Real Options Valuation, 1st Ed. New York: South-Western College Pub.

Way of continuous check of knowledge in the course of semester

E-learning

Other requirements

There are no other requirements on the students.

Prerequisities

Subject codeAbbreviationTitleRequirement
154-0525 FM Financial models Compulsory

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Introduction 2. Traditional approaches used in capital budgeting 3. Options valuation 4. Real options - fundamentals 5. Real options - classification 6. Real options – other application possibilities 7. Real options – other application possibilities (continues) 8. Real options – continuous model application 9. Real options – firm valuation 10. Real options – simulation approach application 11. Real options – simulation approach application (continues) 12. Real options – simulation approach application (continues) 13. Students examination

Conditions for subject completion

Conditions for completion are defined only for particular subject version and form of study

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2015/2016 (N6202) Economic Policy and Administration (6202T010) Finance P English Ostrava 2 Choice-compulsory study plan
2010/2011 (N6202) Economic Policy and Administration (6202T010) Finance (01) Finance P Czech Ostrava 2 Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner