Eres : Digital Library : Works

Paper eres2011_324:
Real Options and Game Theory, an alternative method to the replicating portfolio approach

id eres2011_324
authors Gabrieli, Tommaso
year 2011
title Real Options and Game Theory, an alternative method to the replicating portfolio approach
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary This paper contributes to a fast growing literature which introduces game theory in the analysis of real option investments in a competitive setting. Specifically, in this paper we focus on the issue of market incompleteness and the practical difficulty of finding a twin security in order to apply real option analysis to real estate projects. We show that an alternative to the standard replicating portfolio approach comes from the use of game theory and mixed strategies. We present some theoretical results and we then present a numerical exercise using the information set obtained on a real estate development in South London. We compare our results to previous analysis based on the standard real options framework.
keywords real options, game theory, incomplete markets
series ERES:conference
email t.gabrieli@reading.ac.uk
content file.pdf (855,634 bytes)
discussion No discussions. Post discussion ...
ratings
session D1: Finance & Investment (IV), Risk & Portfollio Management
last changed 2011/06/23 16:27
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