Pendekatan Model Stokastik Untuk Pasar Saham

Abstract

The problem of building real options into physical systems has three features : real options are not easily defined as financial options, path dependency and interde- pendencies among projects mean that the standard tools of options analysis tools ‘are insufficient and the focus is on identifying thebest way to build flexibility in- to the design not to value individual options.tn this thesis suggests a framework for exploring real options in physical systems that especially addresses these two difficulties. This framework has two stage : options identification stage consists of sceening and simulation models that focus attention on a small subset of the possible combination of projects. The options analysis stage uses stochastic mized integer programming to manage the path dependency and interdependency features. This stochastic formulation enables the analyst to include more technical details ‘and develop explicit plans for the execution of projects according to the contingen- cies the arise. Finally, a solution algorithm based on Langrangean relacation of anticipativity is proposed.