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Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151

Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...

Persistent link: https://www.econbiz.de/10010868724

Unlocking Value: Equity Carve outs as Strategic Real Options

Perotti, Enrico C; Rossetto, Silvia - C.E.P.R. Discussion Papers - 2007

them thereafter? We interpret carve outs as strategic options to attract information from the market over the relative … decisions, the value of the strategic options embedded in the carve out and the optimal shares retained. The model explains the …

Persistent link: https://www.econbiz.de/10005124241

How much should we pay for interconnecting electricity markets? A real options approach

Cartea, Álvaro; González-Pedraz, Carlos - In: Energy Economics 34 (2012) 1, pp. 14-30

financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power …-reverting jump process and express the value of these real options in closed-form. The valuation tool is applied to five pairs of …

Persistent link: https://www.econbiz.de/10011039669

Growth to value: Option exercise and the cross section of equity returns

Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349

-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option … place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model …

Persistent link: https://www.econbiz.de/10010616813