154-9521/01 – Application and usage of real options in finance (AVROFa)

Gurantor departmentDepartment of FinanceCredits10
Subject guarantordoc. Ing. Miroslav Čulík, Ph.D.Subject version guarantordoc. Ing. Miroslav Čulík, Ph.D.
Study levelpostgraduateRequirementCompulsory
YearSemesterwinter + summer
Study languageEnglish
Year of introduction2019/2020Year of cancellation
Intended for the facultiesEKFIntended for study typesDoctoral
Instruction secured by
LoginNameTuitorTeacher giving lectures
CUL33 doc. Ing. Miroslav Čulík, Ph.D.
ZME40 prof. Dr. Ing. Zdeněk Zmeškal
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Examination 28+0
Part-time Examination 28+0

Subject aims expressed by acquired skills and competences

The course provides the overview of the application possibilities of advanced approaches in financial decision-making of a company. Particularly, assumptions, conditions and application possibilities of the real option methodology are provided, when the risk and flexibility is reflected in solutions of valuation and decision problems. Special attention is paid to the real options description, parameters and valuation. Due to the fact, that most of the real options are the American-type options, discrete models for valuation are employed.

Teaching methods

Lectures
Individual consultations

Summary

Compulsory literature:

GUTHRIE, Graeme. Real Options in Theory and Practice. New York: Oxford University Press, 2006. MUN, Jonathan. Real Options Analysis. New York: Wiley, 2016. REAL OPTION VALUATION SLS 2016 SOFTWARE – výukový software

Recommended literature:

LARRABEE, David and Jason VOSS. Valuation Techniques: Discounted Cash Flow, Earnings Quality, Measures of Value Added, and Real Options. New York: Wiley, 2013. SHOCKLEY, Robert. An Applied Course in Real Options Valuation. New York: South-Western College Pub, 2006. SMIT, John and Lenos TRIGEROGIS. Strategic Investment: Real Options and Games. New York: Princeton University Press, 2012.

Way of continuous check of knowledge in the course of semester

oral examination

E-learning

Other requirements

there are no other requirements on student

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Introduction - option types, parameters, intrinsic value, payoff function. 2. Option valuation models (models classification, assumptions, 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.

Conditions for subject completion

Full-time form (validity from: 2019/2020 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Examination Examination  
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2020/2021 (P0412D050004) Finance P English Ostrava Compulsory study plan
2020/2021 (P0412D050004) Finance K English Ostrava Compulsory study plan
2019/2020 (P0412D050004) Finance P English Ostrava Compulsory study plan
2019/2020 (P0412D050004) Finance K English Ostrava Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner