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This chapter develops a framework for valuing managerial choices under uncertainty by adapting tools from derivative pricing. It explains why conventional discounted cash flow approaches mismeasure projects whose payoffs depend on staged investment, abandonment, expansion, or switching decisions. Alternative modeling techniques—binomial trees, decision trees, Black–Scholes approximations, and Monte Carlo simulation—are compared, with emphasis on parameter estimation and integration with existing capital budgeting processes. Applications span research and development, natural resources, digital platforms, distressed restructurings, and ESG transitions, illustrating how treating investments as contingent claims reshapes project selection, timing, and risk management. The chapter highlights organizational and communication challenges in practice.

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Real Options and Contingent Claim Valuation: What Is Flexibility Really Worth?

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  • 发表日期：

    2026年

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  • Roberto Moro-Visconti

摘要

This chapter develops a framework for valuing managerial choices under uncertainty by adapting tools from derivative pricing. It explains why conventional discounted cash flow approaches mismeasure projects whose payoffs depend on staged investment, abandonment, expansion, or switching decisions. Alternative modeling techniques—binomial trees, decision trees, Black–Scholes approximations, and Monte Carlo simulation—are compared, with emphasis on parameter estimation and integration with existing capital budgeting processes. Applications span research and development, natural resources, digital platforms, distressed restructurings, and ESG transitions, illustrating how treating investments as contingent claims reshapes project selection, timing, and risk management. The chapter highlights organizational and communication challenges in practice.