Sharif Digital Repository

The Real Option Theory (ROT) offers a modern methodology for the valuation of an investment project because it considers the value of managerial flexibility facing project uncertainties. The present work seeks to study the Expand and Swich options value for a polymer plant investment project. Perhaps the most critical step of ROT is the estimation of the project volatility. This work also makes an effort to estimate the project volatility in different cases considering different possibilities of modeling the uncertain variables. The main uncertain variables that can positively affect the project value are the price of the raw material, the price of the product and the demand growth of the... 

Nowadays, considering intense competition and the need for continuous improvement in organizations, research and development projects have attracted the attention of many organizations. Due to the intense competition and turbulence in the competitive market, there is a need for flexibility in the strategic decisions. In this thesis, we introduce a systematic framework for executive decision making within a strategic planning framework using the real options valuation method. This two-stage model first takes value of strategic projects in different periods considering the market effects of using the real options opportunity approach. Then the effect of this selection on all the options is... 

Real option is one of most promising and crucial concepts in corporate valuation and budgeting process. They are very similar to financial options except that their intrinstic values are calculated based on a company’s practical flexibilities rather than financial contracts. Most previous publications in this field are related to upstream sectors of oil, gas, or mining as well as high-tech industries. The application of this concept in chemical industries has been poorly investigated, and the majority of those limited number of papers have evaluated real options in down-stram sectors. Thus, the application of real options in midstream parts of chemical industry was not thoroughly... 

In this thesis, we apply robust optimization to analyze the uncertainty of model parameters of a portfolio optimization which contains stock options. We also develop two robust counterpart models for single period and multiperiod problems. By assuming that the probability distribution of parameters is not known, their uncertainty is considered to lie within known linear intervals. Due to the existence of nonlinear relations (piecewise linear) between uncertain data (stock and option price), we present an over-conservative robust model to make the solution feasible for all parameters. However in the second model by adopting a different approach we develop a robust counterpart model with... 

In this study, we introduce a systematic approach for valuation of Technology development projects by applying a discrete model of real options valuation. This framework is then applied to a real technology development project. The estimate of volatility is the most important argument that it is difficult to calculate. Data from the project’s feasibility study is gathered and classified in an appropriate format to be ready for simulation. Then uncertainty parameters are identified. The data is separated and their impacts on annual cash flows are considered. Volatility of the whole project is estimated to be relatively high. This is an advantage for the proposed method. In this project,... 

In this thesis, by applying real option mechanism a model is proposed in order to make the best decision regarding the possible implementation of projects development of a hospital department. Due to the specific circumstances of the health systems, this model considers several uncertainties. Queuing theory is used to detect system uncertainties and define suitable projects. We evaluate the projects financially within the hospital budget. Then simulation technique also will be used to finally select the projects that have the greatest improvement on the system performance. In this study, two real-option models are developed to evaluate two projects to be implemented in the hospital. The... 

Iran has the third largest reservoirs of oil and the second largest reservoirs of gas and has the greatest hydrocarbon reservoirs worldwide. Considering the fact that production of oil is highly dependent on gas injection, Iran is facing a great challenge in determining proper strategy for consuming natural gas. Due to the lack of proper strategy form the point of view of economical as well as scientific evaluation in political and social aspects, it has resulted in weakening Iran’s place in international markets and also reduction of oil wells’ productions.In this study, after a review of relevant literature, characteristics of oil and gas projects effective on modeling them were... 

In this thesis, we will examine the issue of managing airlines' income and determining the appropriate policies for storing accommodation for different classes in the seats of a flight. Most airlines use a nesting structure to allocate seats, in which access between classes is possible, but only the higher class can access all the seats in the subclass. It is assumed that this structure and allocation process increase company revenue, but the problem is that the chances of staying in the seat will increase in the hope of higher demand and higher risk of corporate income reduction.With the goal of providing a way to determine the optimal classroom dynamically, this study, for the first... 

Nowadays the evaluation startups has been difficult and this problem increases the likelihood of misunderstanding price of company's stock. Companies need precise evaluation in different steps of their development. during fund-raising, To make the investors’ share determine, the value of companies should be calculated because the investors’ share equals the ratio of new investment to the value of company after investment. Besides, during the merge or possession of a company, to determine the value of the deal or the share of the dealers, we need to evaluate value of the company. to evaluate the Intrinsic value of company, we need to know potential revenue streams, financial statements, the... 

Cogeneration technologies such as Combined Heat and Power (CHP) have promising features for providing the electrical energy that various industries require while reducing the emissions and other environmental impacts of these industries. Investments in CHP systems require substantial implementation costs followed by a relatively long period of recovering the invested capital through savings in utilities bills. Appropriate timing of CHP system investments can reduce capital expenses and enhance returns on investments. An appropriate investment valuation method is needed to identify the appropriate time to implement a given CHP system and to find the values of properly scheduled investments.... 

Today, Research and Development (R&D) plays an underlying role in all technology-based companies. It is the R&D that creates competitive advantage and determines survival or growth of a company in the fierce market place. R&D, On the other hand, consumes invaluable resources such as capital, human resource, and laboratories which are generally very scarce. This implies that R&D decisions must be treated as huge investment decisions which are made within the strategic framework of a business. The purpose of R&D portfolio selection is to select a set of projects from a pool of candidate projects in order to maximize some financial measures subject to resource availability and technical... 

Infrastructure systems play a critical role in the economic and social activities of a community. Effective and continuous performance of these infrastructure systems is essential to the welfare and prosperity of the communities. Infrastructure systems comprise networks of interdependent assets that are built through a long and costly process. These assets are subject to a variety of factors that reduce the performance and reliability over time. These factors also increase the vulnerability of infrastructure assets in face of future probable hazards. In order to ensure the continuous and uninterrupted performance of infrastructure assets in post-hazard situations, asset managers should plan... 

In this thesis, first, the problem of valuation of a portfolio is considered. This portfolio consists of some risky assets and real options written on them, with capital budgeting constrain. Three major elements of this problem are: portfolio, capital budgeting and real options. After reviewing the relevant literature, we develop a framework for managerial decisions about risky assets, by applying of Option Valuation Theory and Stochastic Dynamic Programming. The objective is to fill the gap in the valuation literature and propose a model that considers three aspects of investment decisions– portfolio approach, capital budgeting and real options- simultaneously. The proposed model... 

Natural disasters can damage the infrastructure of society. Damages to the infrastructure components of society can disrupt their service delivery. Disruption in providing services to society's infrastructure can disrupt social and economic activities and impose various significant costs on society. The cost of repairing the damaged infrastructure and reducing the income of households are among the economic damages of accidents. The decline in the quality of life, as well as the death and injury of people due to the breakdown of the infrastructure or the disruption in their services, are among the social damages caused by accidents. In the same way, natural disasters are considered a...