Đang chuẩn bị nút TẢI XUỐNG, xin hãy chờ
Tải xuống
CHAPTER 4 The Value of Uncertainty. The general assumption in financial option pricing is that enhanced volatility enhances the value of the option. For financial options, a series of “Greeks” are tools that can be used by analysts to describe and understand the sensitivity of the financial option to key uncertainty parameters. | The Value of Uncertainty The general assumption in financial option pricing is that enhanced volatility enhances the value of the option. For financial options a series of Greeks are tools that can be used by analysts to describe and understand the sensitivity of the financial option to key uncertainty parameters. These include vega delta theta rho and xi. These parameters capture the sensitivity of the option to the uncertainty in time to expiration changing volatility of the future value of the underlying asset to the exercise price the risk-free rate or historical price volatility of the underlying. They also help financial agents to create hedging strategies that minimize the risk caused by changes in the variables that drive the value of the option. For real options the relationship between option value and uncertainty is less clear cut. Uncertainty and risk can not only enhance but also diminish the value of the real option. We have already discussed the effect of private or technical uncertainty on the value of the compounded option. We have seen that with increasing probability of success the option value rises and the critical cost threshold decreases. In this instance increasing the uncertainty of technical success clearly diminishes the value of the real option. There are multiple drivers of uncertainty for real options and the option value displays distinct sensitivities to each of them. Further depending on how many sources of uncertainty any given option is exposed to those sources of uncertainty may have additive synergistic or antagonistic effects on the option value and the critical cost to invest. We will discuss four main sources of uncertainties in this chapter Market variability uncertainty Uncertainty regarding the product requirements the consumer will expect from future products Time of maturity uncertainty Uncertainty related to the time needed to complete a project call option 105 106 REAL OPTIONS IN PRACTICE Time of expiration uncertainty
