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Table 5 Literature review

From: A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Paper

Category

Myers (1977) Pioneered real option pricing methodology

Introduced Real option as a decision opportunity for a corporation or an individual. The real option value (ROV) is the value of this decision opportunity to buy or sell the project

McDonald and Siegel (1986), Quigg (1993) and Kulatilaka (1998)

First to consider real option with stochastic strike

Capozza and Sick (1991), Trigeorgis (1993), Benaroch and Kauffman (2000), Boer (2000), Yeo and Qiu (2002)

They assume that forward prices follow geometric Brownian motion

Oil exploration, Leslie and Michaels (1997)

Advocating the use of Real Option Analysis with a hypothetical example applied to oil field extraction choices

Oil refineries whereby management has some flexibility to switch operating process units in response to a change in prices, Imai and Nakajima (2000)

Development of multinomial lattice model to value the flexibility of the inherent real options within an oil refinery with recommendation that management incorporate such valuations when evaluating oil refinery projects

Power Generation Assets, Eydeland and Wolyniec (2002)

Description of the mathematical problem of optimising and valuing power generation and storage assets

Valuing the option to switch between the dry bulk market and wet bulk market for a combination carriers, Sødal et al. (2008)

Uses real option analysis to investigate market efficiency in switching a dry bulk to the wet tanker market and vice versa

Evaluate investments in pump storage plants, Muche (2009)

Application of Real Option Analysis in order to value the flexibility of pump storage plants, taking into consideration power price volatility and price spikes

Investment strategy for underground gas storage facilities based on real option model considering gas market reform in China, chen2018investment

Real option application for the investment timing and value of gas storage

Valuing investment decisions of renewable energy projects considering changing volatility, Zhang et al. (2020)

Real option application to model solar power generation investment

Coal Mining Project, krisna2021economic

Application of real option analysis to coal mining project investments

Economic feasibility of forest biomass thermal energy facility, An and Min (2021)

Real Option approach on the use of forecst biomass investments

Assessment of Iron Ore Project, Amusan and Adinya (2021)

Real option application for the investment timing and value of iron ore mining projects

Re-processing of mine tailings, Araya et al. (2021)

Application of real option analysis on investment decisions related to re-processing of mine tailings