Value-at-risk analysis for real options in complex engineered systems

  title={Value-at-risk analysis for real options in complex engineered systems},
  author={Rania Hassan and Richard de Neufville and Douglas McKinnon},
  journal={2005 IEEE International Conference on Systems, Man and Cybernetics},
  pages={3697-3704 Vol. 4}
This paper presents a simple but powerful real options valuation methodology suitable for valuing flexibility in complex engineered systems. It is based on value-at-risk analysis and relies on a standard discounted cash flow approach. It demonstrates the method with a case study of the architecting of flexible fleets of satellites. The architecting framework integrates spacecraft engineering design with economic analysis to maximize the financial value of a fleet to the operator under… CONTINUE READING
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