Abstract #300150


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JSM 2002 Abstract #300150
Activity Number: 263
Type: Invited
Date/Time: Wednesday, August 14, 2002 : 8:30 AM to 10:30 AM
Sponsor: Section on Risk Analysis*
Abstract - #300150
Title: Conducting Business Risk Analysis Using Real Options
Author(s): Robert Bordley*+
Affiliation(s): General Motors
Address: Renaissance Center, P.O. Box 100, Detroit, Michigan, 48265-1000, USA
Keywords: real options ; risk analysis ; decision analysis ; certainty equivalent
Abstract:

Real options is widely used in corporate risk applications when the stakes are purely financial. In these applications, critical techniques include the decision-risk timeline, the options-based strategy table, the decision tree, risk-neutral probabilities, expected value, and risk profiles. In addition to reviewing this methodology and some applications, this paper discusses extensions of the methodology to applications in which the stakes are non-monetary.


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Revised March 2002