Regression sensitivity analysis for cash flow simulation based real option valuation

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en Haahtela, Tero 2017-05-03T11:34:37Z 2017-05-03T11:34:37Z 2010
dc.identifier.citation Haahtela , T 2010 , ' Regression sensitivity analysis for cash flow simulation based real option valuation ' PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES , vol 2 , no. 6 , pp. 7670-7671 . DOI: 10.1016/j.sbspro.2010.05.171 en
dc.identifier.issn 1877-0428
dc.identifier.other PURE UUID: 30845e43-38c9-4ec0-b152-efe3e31db7be
dc.identifier.other PURE ITEMURL:
dc.identifier.other PURE FILEURL:
dc.description.abstract Sensitivity analysis on financial options considers how the solution changes because of a change in one of the key parameters (underlying asset value, volatility, exercise price, interest rate, time to maturity, dividends). In case of real option valuation with cash flow simulation, however, these are mostly indirect variables which are computed based on the uncertain direct variables – e.g. demand, unit selling price, and unit costs - in the cash flow calculation. The method presented detects the most significant primary variables, and based on this analysis, shows how changes in the direct uncertainties can be used to estimate with the response surface method the simultaneous changes in the indirect parameters defining the underlying asset process and thus the real option value. en
dc.format.extent 7670-7671
dc.format.mimetype application/pdf
dc.language.iso en en
dc.relation.ispartofseries PROCEDIA: SOCIAL AND BEHAVIORAL SCIENCES en
dc.relation.ispartofseries Volume 2, issue 6 en
dc.rights openAccess en
dc.subject.other 512 Business and management en
dc.subject.other 515 Psychology en
dc.subject.other 517 Political science en
dc.subject.other 113 Computer and information sciences en
dc.subject.other 520 Other social sciences en
dc.title Regression sensitivity analysis for cash flow simulation based real option valuation en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.subject.keyword sensitivity analysis
dc.subject.keyword cash flow simulation
dc.subject.keyword real options
dc.subject.keyword 512 Business and management
dc.subject.keyword 515 Psychology
dc.subject.keyword 517 Political science
dc.subject.keyword 113 Computer and information sciences
dc.subject.keyword 520 Other social sciences
dc.identifier.urn URN:NBN:fi:aalto-201705033748
dc.identifier.doi 10.1016/j.sbspro.2010.05.171
dc.type.version publishedVersion

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