Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

Published simultaneously in Canada.

CHAPTER 1

Installing the Software 1

Installing Crystal Ball Monte Carlo

Simulation Software 1

Installing Real Options Analysis Toolkit Software 8

CHAPTER 2

Getting Started with the Software 15

Getting Started with Crystal Ball Software 15

Getting Started with Real Options Analysis

Toolkit Software 22

CHAPTER 3

Framing Real Options 39

Step 1: Qualify List of Projects and Strategies 40

Step 2: Forecast Base-Case Variables for Each Project 41

Step 3: Create Static DCF Models for Each Case 42

Step 4: Monte Carlo Simulation—DCF Outputs Become

Real Options Inputs 43

Step 5: Framing the Real Options 46

Step 6: Options Analytics, Simulation,

and Optimization 54

Step 7: Reports, Presentations, and Update Analysis 55

CHAPTER 4

The Basics of Financial Modeling 57

Financial Analysis 57

Monte Carlo Simulation 61

Volatility Estimates 64ഊCHAPTER 5

The Basics of Real Options 73

Binomial Lattices 73

Granularities in Lattices 77

State-Pricing Approach to Solving a European Option 88

Trinomial Lattices and American Options 90

CHAPTER 6

Real Options Business Cases 95

Option to Abandon 95

Option to Expand 105

Option to Contract 117

Option to Choose 126

Compound Options 136

Closed-Form Compound Options 144

Sequential Compound Option 148

Changing Costs 154

Changing Volatility 158

Option to Contract and Abandon 162

Basic Black-Scholes with Dividends 167

Barrier Options 171

Stochastic Timing Options 175

Switching Option 178

Closed-Form Equations and Binomial Convergence 183

Nonrecombining Lattices 189

CHAPTER 7

Extended Problems: Combining Forecasting, DCF Modeling,

Real Options, and Optimization 201

CHAPTER 8

Exercise Solutions 213

CHAPTER 9

Real Options Analysis Toolkit Software Function

Description for Excel 239

x CONTENTSഊCHAPTER 10

Real Options Tables 251

Real Options Value Tables 251

Implied Volatility Tables 266

Dividend Impact Tables 272

APPENDIX

Case Studies 281

More, Faster, Cheaper—The Siren Call

of Upstream R&D 281

Real Options Analysis Applied to Valuing

Start-Up Entities: The Digital News, Inc. 284

INDEX 295

Contents xi

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