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Financial Modeling with Crystal Ball and Excel Chapter 13

CHAPTER 13 Real Options This chapter describes a recent topic in finance called real options analysis (ROA) and shows how Crystal Ball and OptQuest can help you determine the value of real options. As we have seen, a financial option is the right, but not the obligation, to buy (or sell) an asset at some point within a predetermined period of time for a predetermined price. | ju13 Real Options This chapter describes a recent topic in finance called real options analysis ROA and shows how Crystal Ball and OptQuest can help you determine the value of real options. As we have seen a financial option is the right but not the obligation to buy or sell an asset at some point within a predetermined period of time for a predetermined price. ROA is used as an alternate methodology for evaluating capital investment decisions involving a high degree of managerial flexibility such as research and development projects or new product decisions. Unlike the simple net present value NPV method used in traditional finance theory ROA treats an investment opportunity as either a single option or a compound option a sequence of options . The traditional NPV method does not value managerial flexibility correctly when it relies on the false assumption that the investment is either irreversible or that it cannot be delayed. In this chapter we will see the similarity between financial and real options then discuss applications of ROA and some analytical methods that have been used with real options. The real option valuation ROV tool described in the final sections combines the use of Crystal Ball and OptQuest to determine the value of opportunities that contain real options. FINANCIAL OPTIONS AND REAL OPTIONS With a financial option the initial investment in an option contract buys the potential opportunity to enjoy positive cash flow when future spot price changes of the underlying financial asset favor doing so but does not carry the obligation to realize negative cash flow if unfavorable conditions prevail. For example the holder of a call option is not obligated to purchase the underlying at the strike price if its spot price is below the strike price on the expiration date and the holder of a put option is not obligated to sell the underlying at the strike price if the spot price is above the strike price on the expiration date. This flexibility to limit