Klasyczne metody wyceny opcji realnych a dwukrotna symulacja Monte Carlo – analiza założeń
The Classic Methods of Real Option Valuation Vs Double Monte Carlo Simulation – Assumptions Analysis

Summary/Abstract: Paper examines the differences between the assumptions associated with methods used for real options valuation. After a brief introduction, containing an overview of the current practice in valuation of real options paper presents the concept of Double Monte Carlo Simulation (2MC). Paper contains a complex comparison of assumptions which are the basis of classical methods of real options valuation (Black-Scholes model, methods based on binomial trees and Monte Carlo simulation) and Double Monte Carlo Simulation. Assumptions will be divided into four areas that will be covered: basic assumptions, valuation metrics, option exercise analysis as well as practical application. Assumption analysis leads to conclusions about the usefulness of the described methods in practice and allows to verify the hypothesis: Double Monte Carlo Simulation fit better to situations occurring in investment projects containing the flexibility of decision-making.

• Details
• Contents