Учет риска и неопределенности в теории реальных опционов

Abstract

The paper discusses new method for evaluation of innovative projects' effectiveness the real options method. Conceptual description of real options theory is given. Two basic approaches to the interpretation of the economic essence of the concept "risk" are identified. The differences in consideration of risk and uncertainty in the traditional method of evaluating the effectiveness of investment projects (NPV method) and in real options theory are determined. In the options theory with the increase in price volatility of the underlying asset the value of the option goes up. In the analysis using NPV method, the increase in uncertainty makes the project less attractive. Thus, there is a contradiction between the consideration of risk and uncertainty in the NPV method and in real options theory.