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Registros recuperados: 45 | |
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Musshoff, Oliver; Hirschauer, Norbert; Palmer, Ken. |
This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier. They subsequently value the option by initiating a Monte-Carlo simulation from the valuation date of the option. It turns out that one approach (Grant et al., 1997) is especially simple. We are able to enhance its efficiency by stripping it of some time consuming but unnecessary simulation steps. Our simplified approach could be called "Bounded Recursive Stochastic Simulation". |
Tipo: Working or Discussion Paper |
Palavras-chave: Research Methods/ Statistical Methods. |
Ano: 2002 |
URL: http://purl.umn.edu/18823 |
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Odening, Martin; Musshoff, Oliver; Utesch, Volker. |
The objective of this paper is to explore the potential of the real options approach for analyzing farmers’ choice to switch from conventional to organic farming. Understanding the determinants of this decision is relevant in particular for agricultural policy makers when predicting the response of farmers to support programs. After a brief review of the existing literature on barriers to the adoption of organic farming a theoretical model is presented that allows one to incorporate two main features of the adoption decision, namely irreversibility and uncertainty of the returns. The real options model quantifies investment multiples that trigger the adoption of organic farming. Compared with neoclassical models it suggests an inertia of the respective... |
Tipo: Journal Article |
Palavras-chave: Organic farming; Real options; Switching regression; Hysteresis; Farm Management. |
Ano: 2004 |
URL: http://purl.umn.edu/97451 |
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Tubetov, Dulat; Maart, Syster Christin; Musshoff, Oliver. |
Kazakhstan and Germany have different development levels of the agricultural sector. One of the explanations for this fact might be the different investment behavior of farmers in the two countries. In this study, we experimentally compare the investment behavior of farmers in the two countries in a farmland investment treatment and a coin tossing game investment treatment. In addition, farmers were confronted with the two treatments in a different order. Results demonstrate that German farmers are more reluctant to make investment than Kazakhstani farmers. Moreover, results are independent from the framing of a farmland investment and a coin tossing game investment treatment. Furthermore, the investment behaviors of farmers were contrasted with normative... |
Tipo: Presentation |
Palavras-chave: Risk and Uncertainty. |
Ano: 2012 |
URL: http://purl.umn.edu/122454 |
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Musshoff, Oliver; Hirschauer, Norbert. |
Agricultural production relies to a great extent on biological processes in natural environments. In addition to volatile prices, it is thus heavily exposed to risks caused by the variability of natural conditions such as rainfall, temperature and pests. With a view to the apparently lacking support of risky farm production program decisions through formal planning models, the objective of this paper is to examine whether, and eventually by how much, farmers’ “intuitive” program decisions can be improved through formal statistical analyses and stochastic optimization models. In this performance comparison, we use the results of the formal planning approach that are generated in a quasi ex-ante analysis as a normative benchmark for the empirically observed... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Stochastic optimization; Program planning; Time series analysis; Crop Production/Industries. |
Ano: 2008 |
URL: http://purl.umn.edu/44174 |
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Balmann, Alfons; Musshoff, Oliver. |
Applications of the real options approach hardly consider investment returns to be the result of competitive markets such as markets for agricultural products. The reason is probably that Dixit and Pindyck (1994, ch. 8) show in their very popular book "Investment under Uncertainty" that the investment triggers of firms in competitive markets are equal to those of firms with exclusive options. In this study, however, it is shown that this result is restricted to markets in which assets have infinite lifetime. If assets are subject to depreciation and subsequent reinvestment opportuni-ties, competition leads to significantly lower investment triggers. The reason is that depreciation of replaceable assets allows to compensate the potential decline in returns... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Livestock Production/Industries. |
Ano: 2002 |
URL: http://purl.umn.edu/19897 |
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Registros recuperados: 45 | |
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