A Simulation-Based Approach to Real Options Valuation

I show how simulated Geometric Brown Motion price paths can be used to value a real option - in this case a field of oil wells. The methodology shows how the long-term value of the oil well is largely unaffected when oil prices are below marginal cost today, a benefit over the standard cash-flow method of valuation. Sample code is provided to show the implementation of the real options approach

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Year of publication:	2019
Authors:	Seyhun, Jon
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Realoptionsansatz \| Real options analysis \| Simulation \| Optionspreistheorie \| Option pricing theory \| Bewertung \| Evaluation \| Monte-Carlo-Simulation \| Monte Carlo simulation

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