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Contingency estimating using option pricing theory: closing the gap between theory and practice

机译：使用期权定价理论的应急估计：弥合理论与实践之间的鸿沟

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摘要

Valuation of contingency budgets for construction projects considering technical and market uncertainties as well as the time it takes to execute the project can be estimated using option pricing theory. Although option pricing theory provides an attractive framework for calculation of contingency budgets, it typically results in complex highly non-linear partial differential equations that require the use of numerical algorithms and computer intensive techniques, thus making it difficult for practitioners to adopt this valuation technique. An attempt to bridge the gap between theory and practice is made by proposing an equivalent linear stochastic process to model the complex non-linear random variation with time of the technical and market uncertainty for projects. The approximation allows estimation of contingency budgets using either closed-form solutions for pricing options, or the intuitive binomial approach. To validate the proposed equivalent linear solution, its results were compared to the solution to the non-linear partial differential equation that governs the pricing of contingency budgets solved by Monte Carlo simulations. A parametric study of the error shows that the proposed approximation to estimate contingency budgets compares well with the results obtained from simulation. The main advantages of the proposed solution are its simplicity and straightforward implementation.
机译：考虑到技术和市场不确定性以及执行项目所花费的时间，可以使用期权定价理论估算建设项目的应急预算。尽管期权定价理论为应急预算的计算提供了一个有吸引力的框架，但它通常会导致复杂的高度非线性偏微分方程，需要使用数值算法和计算机密集型技术，从而使从业人员很难采用这种估值技术。通过提出等效的线性随机过程来建模复杂的非线性随机变量随项目的技术和市场不确定性的时间，试图弥合理论与实践之间的鸿沟。近似值可以使用定价选项的封闭式解决方案或直观的二项式方法估算应急预算。为了验证提议的等效线性解，将其结果与控制蒙特卡罗模拟法求解的应急预算定价的非线性偏微分方程的解进行了比较。对误差的参数研究表明，所提议的估计应急预算的近似值与从模拟获得的结果具有很好的比较。提出的解决方案的主要优点是它的简单性和直接的实现。

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