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An Integrated Real options Framework for model-based identification and valuation of options under uncertainty

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dc.contributor.advisor Daniel E. Hastings. en_US
dc.contributor.author Mikaelian, Tsoline en_US
dc.contributor.other Massachusetts Institute of Technology. Dept. of Aeronautics and Astronautics. en_US
dc.date.accessioned 2010-02-09T19:50:28Z
dc.date.available 2010-02-09T19:50:28Z
dc.date.copyright 2009 en_US
dc.date.issued 2009 en_US
dc.identifier.uri http://hdl.handle.net/1721.1/51676
dc.description Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2009. en_US
dc.description This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. en_US
dc.description Includes bibliographical references (p. 217-231). en_US
dc.description.abstract Complex systems and enterprises, such as those typical in the aerospace industry, are subject to uncertainties that may lead to suboptimal performance or even catastrophic failures if unmanaged. This work focuses on flexibility as an important means of managing uncertainties and leverages real options analysis that provides a theoretical foundation for quantifying the value of flexibility. Real options analysis has traditionally been applied to the valuation of capital investment decisions by considering managerial flexibility. More recently, real options have been applied to the valuation of flexibility in system design decisions. However, different applications of real options are often considered in isolation. This thesis introduces an Integrated Real options Framework (IRF) that supports holistic decision making under uncertainty by considering a spectrum of real options across an enterprise. In the context of the IRF, enterprise architecture is described in terms of eight views and their dependencies and modeled using a coupled dependency structure matrix (C-DSM). The objective of the IRF is to leverage the C-DSM model in order to identify and value real options for uncertainty management. The contributions of this thesis are as follows. First, a new characterization of a real option as a mechanism and type is introduced. This characterization disambiguates among 1) patterns of mechanisms that enable flexibility and 2) types of flexibility in a system or enterprise. Second, it is shown that a classical C-DSM model cannot represent flexibility and options. en_US
dc.description.abstract (cont.) The logical C-DSM model is introduced to enable the representation of flexibility by specifying logical relations among dependencies. Third, it is shown that in addition to flexibility, two new properties, optionability and realizability, are relevant to the identification and analysis of real options. Fourth, the logical C-DSM is used to estimate flexibility, optionability and realizability metrics. Methods that leverage these metrics are developed to identify mechanisms and types of real options to manage uncertainties. The options are then valued using standard real options valuation techniques. The framework is demonstrated through examples from an unmanned air vehicle (UAV) project and management of uncertainty in surveillance missions. en_US
dc.description.statementofresponsibility by Tsoline Mikaelian. en_US
dc.format.extent 231 p. en_US
dc.language.iso eng en_US
dc.publisher Massachusetts Institute of Technology en_US
dc.rights M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. en_US
dc.rights.uri http://dspace.mit.edu/handle/1721.1/7582 en_US
dc.subject Aeronautics and Astronautics. en_US
dc.title An Integrated Real options Framework for model-based identification and valuation of options under uncertainty en_US
dc.title.alternative IRF for model-based identification and valuation of options under uncertainty en_US
dc.type Thesis en_US
dc.description.degree Ph.D. en_US
dc.contributor.department Massachusetts Institute of Technology. Dept. of Aeronautics and Astronautics. en_US
dc.identifier.oclc 501814018 en_US


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