Syllabus

Title
0675 Real Options
Instructors
o.Univ.Prof. Dr. Engelbert Dockner
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/15 to 09/30/15
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Thursday 10/08/15 11:00 AM - 01:00 PM D4.0.047
Thursday 12/03/15 11:00 AM - 01:00 PM D4.0.047
Thursday 12/10/15 11:00 AM - 01:00 PM D4.0.019
Thursday 12/17/15 11:00 AM - 01:00 PM D4.0.047
Thursday 01/07/16 11:00 AM - 01:00 PM D4.0.019
Thursday 01/14/16 11:00 AM - 01:00 PM D4.0.047
Thursday 01/21/16 11:00 AM - 01:00 PM D4.0.047
Thursday 01/28/16 11:00 AM - 01:00 PM D4.0.047
Contents

The following topics will be covered in the course:

  • Characteristics of real options
  • Introduction to mathematical foundations of real options
  • Solving real option problems: Dynamic programming approach
  • Solving real option problems: Contingent claims approach
  • Options to wait
  • Real options and asset pricing
  • Strategic exercise of options

Learning outcomes

This course introduces students to the techniques, tools and applications of real options. It is demonstrated that real options are a perfect tool to analyze problems in corporate finance, asset pricing and industrial organizations.

Teaching/learning method(s)
The course will combine two different ways to deliver the different topics to the students. The first one will be a classical lecture style approach where the instructor presents a challenging practical problem, identifies the issues involved and presents theoretical insight into this topic. The theory then is elaborated in front of the students.
The second method will be to discuss simple cases and ask students to provide theory-based solutions to these cases.
Assessment
Grading will be based on assignments, questions asked during lecture, and mainly on the basis of the final exam.
Readings
1 Author: A.K.Dixit and R.S. Pindyck
Title: Investment under uncertainty

Publisher: Princeton
Year: 1994
2 Author: L. Trigeorgis
Title: Real Options

Publisher: MIT Press
Year: 2000
3 Author: M. Amram and N. Kulatilaka
Title: Real Options

Publisher: Harvard Business School Press
Year: 1999
Availability of lecturer(s)
Other
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Last edited: 2015-06-16



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