文摘
In this work, a real-options-based valuation (ROV) framework for hedging under uncertainty isdeveloped. The basic idea of the proposed ROV methodology is the recognition and utilization ofexternal market opportunities to guide internal planning decisions of a company. This is achievedby applying key financial planning principles such as arbitrage-free pricing and risk-neutralvaluation to real, nonfinancial resource allocation decisions under uncertainty. Three applicationareas of the ROV methodology are described: production planning, pharmaceutical pipelinemanagement, and emission trading. Multistage stochastic programming is used to incorporateuncertainty and a quantitative comparison of the ROV approach, and the traditional net-present-value (NPV) approach is provided.