Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis

摘要

This paper derives an adjusted Black-Scholes pricing formula. In separating riskand uncertainty using the robust control technique, we find that both uncertainty andrisk raise management’s subjective evaluation of real options. We suggest a simplemethod to filter the risk of the project and to acquire a more reliable value of realoptions without the influence of uncertainty. In addition, we propose that aninvestment opportunity may be postponed inappropriately, as under uncertainty theexercise of investment may be delayed by the project manager. To our knowledge, anysimilar quantitative methods have not hitherto been mentioned in terms of isolatinguncertainty from risk in real options analysis that we consider here.