A Tutorial for Modeling Real Options Lattices from Project Cash Flows

ABSTRACT Context: several methods for evaluating real options have been extensively studied and published. But recombining binomial trees, known as lattices, are perhaps one of the most practical and intuitive approaches to model uncertainty and price project managerial flexibilities for real options applications. Although the Cox, Ross, and Rubinstein (1979) lattice model is simple to implement for financial options, modeling real options lattices requires a different approach such as the one proposed by Copeland and Antikarov (2001), which considers project cash flows as dividends in the lattice model. Objective: in this tutorial, we propose a code in an open-source software with intuitive guidelines to help researchers and practitioners model real options lattices from project cash flows. Method: our code considers the correct project’s volatility estimation, dividend yield modeling, and lattice building. Results: the results show how real options can affect the value of projects. Conclusions: as a contribution, this tutorial provides a simple mechanism for analyzing investment opportunities in projects that have uncertainty and flexibility.摘要 研究背景：现有诸多实物期权（real options）评估方法已得到广泛研究与发表。重组二项树（recombining binomial trees）又称格状模型（lattices），是实物期权应用中用于建模不确定性、定价项目管理柔性的最实用且直观的方法之一。尽管Cox、Ross与Rubinstein（1979）提出的格状模型在金融期权定价中易于实现，但实物期权的格状建模需要采用不同的方法，例如Copeland与Antikarov（2001）提出的方法，该方法将项目现金流视作格状模型中的股息。 研究目标：本教程提供一款开源软件代码，并附带直观操作指南，以协助研究人员与从业者基于项目现金流构建实物期权格状模型。 研究方法：本代码涵盖了规范的项目波动率估算、股息率建模以及格状模型构建流程。 研究结果：本研究阐明了实物期权如何对项目价值产生影响。 研究结论：本教程的贡献在于，为分析具备不确定性与管理柔性的项目投资机会提供了一种简易可行的分析框架。