154-9521/01 – Application and usage of real options in finance (AVROFa)
| Gurantor department | Department of Finance | Credits | 10 |
| Subject guarantor | doc. Ing. Miroslav Čulík, Ph.D. | Subject version guarantor | doc. Ing. Miroslav Čulík, Ph.D. |
| Study level | postgraduate | Requirement | Compulsory |
| Year | | Semester | winter + summer |
| | Study language | English |
| Year of introduction | 2019/2020 | Year of cancellation | |
| Intended for the faculties | EKF | Intended for study types | Doctoral |
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:
Recommended literature:
Additional study materials
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
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction
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