A real options approach to a classical capacity expansion problem

Pesquisa Operacional

Antonio G. N. Novaes²  João Carlos Souza¹ 

[1],Universidade Federal de Santa Catarina Departamento de Engenharia de Produção Florianópolis SC

关键词: capacity expansion models;    economic feasibility;    real options;    modelos de expansão de capacidade;    viabilidade econômica;    opções reais;   

DOI  :  10.1590/S0101-74382005000200001

来源: SciELO

【 摘 要 】

Some authors, considering deterministic or stochastic demand patterns and different forecasting formulations, have studied the classical problem of optimally meeting a growing demand for capacity, over an infinite horizon. With this approach, only investment costs discounted with a predefined interest rate are considered in the analysis. Adding other expenditures and revenues, managers usually estimate the discounted cash flow of the project, and assume the organization will follow a predetermined plan when investing, regardless of how events unfold in the future. The real options approach, on the other hand, introduces the possibility of incorporating other decision alternatives in the economic analysis, such as the option of waiting or postponing, abandoning, switching, etc. In this paper we first review the classical capacity expansion models. Then, the concepts and properties of the real options approach, with emphasis on the Black-Scholes equation, are briefly discussed. Finally, an application example is presented and discussed.

【 授权许可】

CC BY   
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