Роль издержек мониторинга при анализе реальных опционов

Alexander V. Bukhvalov; Barbara A. Bukhvalova

Authors

Alexander V. Bukhvalov Graduate School of Management, Saint Petersburg State University, Russia https://orcid.org/0000-0001-6358-710X
Barbara A. Bukhvalova BI Norwegian Business School, Oslo, Norway

Abstract

This paper is the first to analyze importance of monitoring costs in real options analysis. Monitoring costs, in this context, are tied to the process of making key investment or management decisions. Monitoring costs differ from previously considered types of frictions, as they make it optimal to spread decisions (and not only actions) in time. In the first part of the paper, we present a qualitative introduction of monitoring costs in real options analysis and their effects on the optimal decisions during the life of the real option. In the second part, we implement numeric valuation of a real option in the presence of two types of frictions, monitoring costs and option maintenance costs. We illustrate our results using a number of three-dimensional surface plots. We analyze effects of the two frictions on the option value and the optimal decision timing and supplement our results by analyzing sensitivities to all major parameters of the model. The surface plots serve two purposes. First, they allow to quantify importance of the considered frictions. Second, they could be consulted as qualitative indicators in analyzing projects with similar characteristics.

Keywords:

real options, option to wait, monitoring costs, transaction costs

Downloads

Download data is not yet available.

References

ЛИТЕРАТУРА НА РУССКОМ ЯЗЫКЕ

Бухвалов А. В. 2004a. Реальные опционы в менеджменте: введение в проблему. Российский журнал менеджмента 2 (1): 3–32.

Бухвалов А. В. 2004б. Реальные опционы в менеджменте: классификация и приложения. Российский журнал менеджмента 2 (2): 27–56.

Лимитовский М. А. 2011. Инвестиционные проекты и реальные опционы на развивающихся рынках. 5-е изд. М.: Юрайт.

Халл Дж. К. 2007. Опционы, фьючерсы и другие производные финансовые инструменты. 6-е изд. М.: Издат. дом «Вильямс».

Чезборо Г. У., Тис Д. Дж. 2003. Организационные формы инноваций: когда виртуальная корпорация эффективна? Российский журнал менеджмента 1 (1): 123–136.

REFERENCES IN LATIN ALPHABET

Bukhvalova B. 2005. Monitoring Costs and Portfolio Choice. UC Berkeley working paper.

Brennan M. J., Schwartz E. S. 1985. Evaluating natural resource investments. Journal of Business 58 (2): 135–157.

Cox J. C., Ross S. A., Rubinstein M. 1979. Option pricing: A simplified approach. Journal of Financial Economics 7 (3): 229–263.

Dixit A. K., Pindyck R. S. 1994. Investment under Uncertainty. Princeton University Press: Princeton, MA.

Guthrie G. 2007. Missed opportunities: Optimal investment timing when information is costly. Journal of Financial and Quantitative Analysis 42 (2): 467–488.

Kodukula P., Papundesu C. 2006. Project Valuation Using Real Options: Practitioner’s Guide. J. Ross Publishing: Fort Lauderdale, FL.

McDonald R. L. 2006. Derivative Markets. 2nd ed. Pearson Education: Boston, MA.

Shockley R. L. 2007. An Applied Course in Real Options Valuation. Thomson South-Western: Mason, OH.

Shy O., Stenbacka R. 2005. Partial outsourcing, monitoring cost, and market structure. Canadian Journal of Economics 38 (4): 1173–1190.

Tsekrekos A. E., Shackleton M. B., Wojakowski R. 2012. Evaluating natural resource investments under different model dynamics: Managerial insights. European Financial Management (forthcoming). Working paper: http://ssrn.com/abstract=1831603.

The List of References in Cyrillic Transliterated into Latin Alphabet

Bukhvalov А. V. 2004a. Real’nye optsiony v menedzhmente: vvedenie v problemu. Rossijskij zhurnal menedzhmenta 2 (1): 3–32.

Bukhvalov А. V. 2004b. Real’nye optsiony v menedzhmente: klassifikatsiya i prilozheniya. Rossijskij zhurnal menedzhmenta 2 (2): 27–56.

Limitovskij M. А. 2011. Investitsionnye proekty i real’nye optsiony na razvivayushhikhsya rynkakh. 5-e izd. M.: Yurajt.

Hull D. 2007. Optsiony, f’yuchersy i drugie proizvodnye finansovye instrumenty. 6-e izd. Per. s angl. M.: Izdat. dom «Vil’yams».

Chesbrough H. W., Teece D. J. 2003. Organizatsionnye formy innovatsij: kogda virtual’naya korporatsiya ehffektivna? Rossijskij zhurnal menedzhmenta 1 (1): 123–136.