The impacts of uncertainties in a real options model under incomplete information
The impacts of uncertainties in a real options model under incomplete information
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DOI：
10.1016/j.ejor.2006.09.019
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发表时间：
2008-06
期刊：
影响因子：
--
通讯作者：
T. Shibata
中科院分区：
文献类型：
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作者：
T. Shibata
本文研究了在不完全信息条件下，利润不确定性对真实的实物期权模型的影响。利润的不确定性并没有纳入不完全信息下的真实的期权模型，因为潜在的状态变量并没有被公式化为随机过程（参见，例如，Bernardo，A. E、Chowdhry，E. B.，2002.资源、真实的选择和公司战略。Journal of Financial Economics，63，211-234）。我们扩展了Bernardo和Chowdhry开发的模型，将潜在的状态变量表示为随机过程。我们的结论是，利润的不确定性有相同类型的影响真实的期权价值及其触发器，在完全和不完全信息。
This paper examines the impact with respect to the uncertainty of the underlying state variable, profit uncertainty, on the real options model in a situation of incomplete information. Profit uncertainty has not incorporated into the real options model under incomplete information, in that the underlying state variable is not formulated as the stochastic process (see, e.g., Bernardo, A. E., Chowdhry, E. B., 2002. Resources, real options, and corporate strategy. Journal of Financial Economics, 63, 211–234). We extend the model developed by Bernardo and Chowdhry to formulate the underlying state variable as the stochastic process. We conclude that profit uncertainty has the same type of impact on the real options value and its triggers, both under complete and incomplete information.