The subject of the article is the presentation of an unconventional method of establishing the value of the company together with investment ventures basing on the concept of real options (Real Option Valuation ROV). The option calculation can be applied in many areas, such as: evaluation of...

We derive closed-form expressions to price European calls and puts assuming the cash flows of the underlying asset or project are normally distributed. This approach has important advantages in the context of real options applied to infrastructure projects when compared to the Black-Scholes...

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the...

Motivated by the potential use of electricity storage to smooth fluctuations in supply and demand, we study the problem of writing American-type call options when the holder's exercise strategy is of threshold type (so that the time of exercise is known, but random). The writer must provide...

Urban structures and urban growth rates are highly persistent. This has far-reaching implications for the optimal size and timing of new construction. We prove that rational developers postpone construction not because prospects are gloomy, but because they are bright. The slow mean reversion in...

I show that the irreversibility of dying coupled with gradual information acquisition over time on the likely arrival and eventual effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a pandemic.The case for lockdown strategies becomes stronger...

This paper reviews methods that can be used to value illiquid investments, with a particular focus on private equity and real estate. We discuss the traditional valuation methods, in particular the net present value (NPV) rule, and show in what circumstances these can lead to suboptimal...