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

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
Individual consultations

Summary

Real options is a flexible approach for decision making on 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 company decision-making process.

Compulsory literature:

DiLELLIO, James. Real Option Modeling and Valuation: A Decision Analysis Approach Using DPL and Excel. London: ‎ Independently published, 2018. 136 pp. ISBN 978-1521238592. MUN, Jonathan: Real Options Analysis: Tools and Techniques for Valuing Strategic Investments and Decisions with Integrated Risk Management and Advanced Quantitative Decision Analytics. London: ROV Press, 2016. 695 pp. ISBN 978-1734497359. MUN, Jonathan: Applied Analytical - Applied Project Management: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, Portfolio management, Project Management.‎ ‎New York: IIPER Press, 2020. 143 pp. ISBN 978-1734481150.

Recommended literature:

JACKSON, Liam, et al. Applied Analytical - Oil and Gas Decommissioning Risk Management: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Analytics. London: IIPER Press, 2020. 266 pp. ISBN 978-1734481174. LARRABEE, T. a J. VOSS. Valuation Techniques: Discounted Cash Flow, Earnings Quality, Measures of Value Added, and Real Options. New York: Wiley, 2012. 624 pp. ISBN 978-1118397435. SCHONE, M. Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling. Berlin: Springer, 2015. 118 pp. ISBN 978-3658074920.

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
2022/2023 (P0412D050004) Finance K English Ostrava Compulsory study plan
2022/2023 (P0412D050004) Finance P English Ostrava Compulsory study plan
2021/2022 (P0412D050004) Finance P English Ostrava Compulsory study plan
2021/2022 (P0412D050004) Finance K English Ostrava Compulsory study plan
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