標題: Competition, Dedicated Assets, and Technological Obsolescence in Multistage Infrastructure Investments: A Sequential Compound Option Valuation
作者: Huang, Yu-Lin
Pi, Chia-Chi
土木工程學系
Department of Civil Engineering
關鍵字: Dedicated assets;multistage investment;sequential compound option;technological obsolescence;valuation
公開日期: 1-Feb-2011
摘要: Multistage investments are common in area-wide developments of privatized telecommunication networks and other complex infrastructure systems. They represent an incremental strategy that maintains flexibility in managing market risks, funding needs, and resource constraints in geographical expansions. Though compound options can be used to valuate multistage investments, their valuation is complex when the project in question requires upfront and interim investments in dedicated assets for future expansions. The problem becomes more complex when infrastructure markets are competitive and the investment in question is prone to rapid technological progress, which quickly makes the currently best in-use technology obsolete. This paper develops a European sequential compound call option pricing model to valuate multistage investments and analyze how competition, dedicated assets, and technological obsolescence influence the value of flexibility in this incremental strategy.
URI: http://dx.doi.org/10.1109/TEM.2010.2048910
http://hdl.handle.net/11536/25796
ISSN: 0018-9391
DOI: 10.1109/TEM.2010.2048910
期刊: IEEE TRANSACTIONS ON ENGINEERING MANAGEMENT
Volume: 58
Issue: 1
起始頁: 141
結束頁: 153
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