Optimization Online


Real Options: A Survey

Elcin Cetinkaya (elc209***at***lehigh.edu)
Aurelie Thiele (aut204***at***lehigh.edu)

Abstract: This survey paper provides an overview of real options, in particular the connection with financial options, valuation methods (analytical methods vs numerical methods based on simulation, lattice approximations to stochastic processes and finite-difference methods) and a wide array of application areas, from R&D to operations management to renewable energy project selection.

Keywords: real options

Category 1: Applications -- OR and Management Sciences

Citation: Technical report, Lehigh University, December 2014.

Download: [PDF]

Entry Submitted: 01/02/2015
Entry Accepted: 01/02/2015
Entry Last Modified: 01/03/2015

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