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Maritime Policy & Management
The flagship journal of international shipping and port research
Volume 34, 2007 - Issue 5
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Original Articles

Maritime investment strategies with a portfolio of real options

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Pages 441-452 | Published online: 22 Oct 2010

References and notes

  • Yeo , KT and Qui , F . 2003 . The value of management flexibility—a real options approach to investment evaluation . International Journal of Project Management , 1 ( 4 ) : 243 – 250. . An option gives the right but not the obligation to undertake an action. Its upside potential and the minimisation of risks improves pay-offs
  • The quantitative origins of real options in financial markets using no-arbitrage derive from the seminal works of 3, 4 in pricing of financial options, the binomial approach 5, 6, and others. While it is appreciated that the issues associated with investment under uncertainty certainly predated pricing of financial options, the partial equilibrium model, which follows is the financial markets no-arbitrage option pricing approach as advocated in 7
  • Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 ( May–June ) : 637 – 559 .
  • Merton , RC . 1971 . Theory of rational option pricing . Bell Journal of Economics and Management Science , 4 ( 1 ) : 141 – 183 .
  • Cox , JC , Ross , SA and Rubinstein , M . 1979 . Option pricing: a simplified approach . Journal of Financial Economics , 7 ( 3 ) : 229 – 263 .
  • Margrabe , W . 1978 . The value of an option to exchange one asset for another . Journal of Finance , 3 ( 1 ) : 177 – 186 .
  • Copeland , T and Antikarov , V . 2001 . Real Options , New York : Texere LLC .
  • A European option can only be exercised on a pre-determined expiry date. A put option gives the holder the right but not the obligation to sell an asset
  • Yao , Junkui and Jaafari , Ali . 2003 . Combining real options and decision tree: an integrative approach for project investment decisions and risk management . The Journal of Structured and Project Finance , 9 ( 3 ) : 53 – 70 .
  • Van Putten , AB and MacMillan , IC . 2004 . Making real options work . Harvard Business Review , 82 ( 12 ) : 134 – 141 .
  • Luchrman , TA . 2001 . “ Strategy as a portfolio of real options ” . In Real Options and Investment under Uncertainty , Edited by: Schwartz , Eduardo S. and Trigeorgis , Lenos . 385 – 403 . London : The MIT Press .
  • Schwartz , ES and Trigeorgis , Lenos . Real Options and Investment under Uncertainty , London : The MIT Press .
  • Trigeorgis , L . 2001 . “ The nature of options interactions and the valuation of investments with multiple real options ” . In Real Options and Investment under Uncertainty , Edited by: Schwartz , E. S. and Trigeorgis , L. London : The MIT Press .
  • Relating asset specificity to real options analysis , see 16
  • Further details of the project are in 17. Monetary values in that paper are Australian dollars, whereas here they are expressed in US dollars; AUD 1 = 0.56 USD
  • Bendall , HB . 2002 . “ Valuing maritime investments using real options analysis ” . In The Handbook of Maritime Economics and Business , Edited by: Grammenos , C. 642 – 660 . London : Lloyds of London Press .
  • Bendall , HB and Stent , AF . 2003 . Investment strategies in market uncertainty . Maritime Policy and Management , 30 ( 4 ) : 293 – 303 .
  • Clewlow , L and Strickland , C . 1998 . Option Pricing: Numerical Methods , New York : John Wiley and Sons .

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