Message-ID: <6216099.1075856493989.JavaMail.evans@thyme> Date: Tue, 11 Jul 2000 01:52:00 -0700 (PDT) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: New real options presentation Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: Vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 07/11/2000 08:56 AM --------------------------- Steven Leppard 06/21/2000 04:13 AM To: Vince J Kaminski/HOU/ECT@ECT, Grant Masson/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Olivier Herbelot/LON/ECT@ECT, Soma Ghosh/LON/ECT@ECT cc: Subject: New real options presentation All Attached in the latest version of my real options presentation, which I'll be presenting at a Real Options Group conference in Cambridge next month. I've removed the gas storage pricing example, and instead put in a simple example to show that my method can reproduce decision tree approaches (should one wish to do so). This is a response to the heavily decision-tree dominated approach taken by most people at the last conference I spoke at. I want to demonstrate explicitly that my approach covers both decision tree and option pricing as special cases, the synthesis needed for correct real option valuation. My presentation now covers: 1. Decision trees. 2. Binomial option pricing trees. 3. Power station valuation. 4. Power asset development. The option pricing and power examples are based on the (too simplistic) binomial tree method. I obviously won't indicate my thoughts on the most correct way to do this. Steve