Simulation-based estimation of state-dependent project volatility
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/45563 https://doi.org/10.1080/0013791X.2017.1384523 |
Resumo: | Project volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project volatility. This paper takes into account that volatility may change not only with time but also with the state of the project. Two possible definitions for the project volatility are considered, the log-variance and the variance of the project value, and two simulation based procedures are proposed for estimating state-dependent volatility: two-level simulation and one and a half level simulation. Computational experiments show that both the procedures perform better than the method proposed by Copeland and Antikarov, and that the one and a half level simulation procedure leads to the most accurate estimations of project volatility. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
spelling |
Simulation-based estimation of state-dependent project volatilitySimulationProject volatilityReal optionsProject volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project volatility. This paper takes into account that volatility may change not only with time but also with the state of the project. Two possible definitions for the project volatility are considered, the log-variance and the variance of the project value, and two simulation based procedures are proposed for estimating state-dependent volatility: two-level simulation and one and a half level simulation. Computational experiments show that both the procedures perform better than the method proposed by Copeland and Antikarov, and that the one and a half level simulation procedure leads to the most accurate estimations of project volatility.Taylor and Francis2017-10-25info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/45563http://hdl.handle.net/10316/45563https://doi.org/10.1080/0013791X.2017.1384523enghttp://www.tandfonline.com/doi/full/10.1080/0013791X.2017.1384523Godinho, Pedroinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2019-11-07T10:58:14Zoai:estudogeral.uc.pt:10316/45563Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:49:51.298516Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Simulation-based estimation of state-dependent project volatility |
title |
Simulation-based estimation of state-dependent project volatility |
spellingShingle |
Simulation-based estimation of state-dependent project volatility Godinho, Pedro Simulation Project volatility Real options |
title_short |
Simulation-based estimation of state-dependent project volatility |
title_full |
Simulation-based estimation of state-dependent project volatility |
title_fullStr |
Simulation-based estimation of state-dependent project volatility |
title_full_unstemmed |
Simulation-based estimation of state-dependent project volatility |
title_sort |
Simulation-based estimation of state-dependent project volatility |
author |
Godinho, Pedro |
author_facet |
Godinho, Pedro |
author_role |
author |
dc.contributor.author.fl_str_mv |
Godinho, Pedro |
dc.subject.por.fl_str_mv |
Simulation Project volatility Real options |
topic |
Simulation Project volatility Real options |
description |
Project volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project volatility. This paper takes into account that volatility may change not only with time but also with the state of the project. Two possible definitions for the project volatility are considered, the log-variance and the variance of the project value, and two simulation based procedures are proposed for estimating state-dependent volatility: two-level simulation and one and a half level simulation. Computational experiments show that both the procedures perform better than the method proposed by Copeland and Antikarov, and that the one and a half level simulation procedure leads to the most accurate estimations of project volatility. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-10-25 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/45563 http://hdl.handle.net/10316/45563 https://doi.org/10.1080/0013791X.2017.1384523 |
url |
http://hdl.handle.net/10316/45563 https://doi.org/10.1080/0013791X.2017.1384523 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://www.tandfonline.com/doi/full/10.1080/0013791X.2017.1384523 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Taylor and Francis |
publisher.none.fl_str_mv |
Taylor and Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799133779524059136 |