Incorporating stochastic correlations into mining project evaluation using the Jacobi process

Ardian, Aldin; Kumral, Mustafa

doi:10.1016/j.resourpol.2019.101558

Cited by 14 publications

(2 citation statements)

References 26 publications

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“…However, its drawbacks include a slow rate and complexity with many nodes, making it challenging to perform and impractical in certain situations. This model has been applied in mining investment valuation in various studies (Ajak & Topal, 2015;Ardian & Kumral, 2020;Dehghani et al, 2014).…”

Section: Option Pricing Trees (Binomial Model)mentioning

confidence: 99%

Strategic Integration of Real Options for Enhanced Valuation and Optimization in Mining Project Planning under Uncertainty: A Comprehensive Review

Ali,

Rafique

2024

IJPM

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Purpose: In the contemporary landscape of mining projects, the imperative to navigate through periods of uncertainty has driven the exploration of alternative strategic tools rooted in project flexibility. Real options have emerged as a pivotal strategic approach, offering the means to adapt and refine mining projects under unpredictable conditions Materials and Methods: This paper provides a comprehensive review and discussion on the strategic application of real options for optimizing mining project planning in the face of uncertainty. Organized into four sections, the paper begins with a general introduction to real options in Section one, delving into their strategic and technical classifications. Section two critically examines and reviews the indispensable role of real options in the realms of mining investment and project planning. The third section is dedicated to an in-depth discussion of the strategic tools inherent in real options, specifically focusing on their valuation and optimization aspects within mining project planning. The final section provides a discussion and conclusion on the strategic application of real options for optimizing mining project planning under uncertainty. Findings: The review identifies that real options offer valuable strategic flexibility in addressing uncertainties inherent in mining project planning. Through a detailed examination of their application, it becomes evident that real options can enhance decision-making processes and improve project outcomes by allowing for adaptive responses to changing conditions. Implications to Theory, Practice, and Policy: The strategic integration of real options into mining project planning presents significant implications for theory, practice, and policy. Theoretical implications include advancing understanding of decision-making under uncertainty and the role of flexibility in strategic planning. In practice, the adoption of real options can lead to improved project outcomes, increased resilience to market fluctuations, and enhanced risk management strategies. From a policy perspective, recognizing the value of real options may inform regulatory frameworks and promote the adoption of flexible planning approaches within the mining industry, ultimately contributing to sustainable development and resource management.

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Section: Option Pricing Trees (Binomial Model)mentioning

confidence: 99%

Strategic Integration of Real Options for Enhanced Valuation and Optimization in Mining Project Planning under Uncertainty: A Comprehensive Review

Ali,

Rafique

2024

IJPM

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“…Among the alternatives of stochastic models for the real options valuation, there is the use of Geometric Brownian Motion (GBM) for price modelling (Berk and Podhraski, 2018) with a linear stochastic solution using the Itô's lemma (Maeda and Watts, 2019). In addition, the GBM simulates the prices of the underlying asset following a random walk with constant volatility (Ardian and Kumral, 2020), assuming a lognormal probability distribution when the ratio between the expected price and the present price has independence from the past price history (Angstmann et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes

et al. 2022

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Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber assortments. The stochastic process that represents the best way of pricing the underlying asset therefore needs to be known. This study set out to compare Fractional Brownian Motion and Geometric Brownian Motion, through econometric tests, to understand the stochastic model that best represents the price behaviour of Pinus wood from planted forests in the state of Santa Catarina, Brazil, for the pricing of the underlying asset and valuation of the real options intrinsic to forest investment projects. The time series of prices, for the period from June 2017 to July 2019, relate to three assortments of Pinus wood used for multiple products. The recommended econometric tests to analyse the time series were for normality of the data, trend, autocorrelation, stationarity and fractional differential estimation. The time series were then modelled by means of stochastic processes in line with the econometric tests. The time series showed normal behaviour and indicated the presence of a positive trend and non-stationarity in the data. In addition, a true long memory was found in all series. Fractional Brownian Motion proved to be the most suitable stochastic process for modelling the prices of three forest timber assortments, given the non-stationary characteristics and true long memory of the time series for Pinus wood prices.

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A new fuzzy simulation approach for project evaluation based on concepts of risk, strategy, and group decision making with interval-valued intuitionistic fuzzy sets

Davoudabadi

Mousavi

Patoghi

2022

J Ambient Intell Human Comput

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Incorporating stochastic correlations into mining project evaluation using the Jacobi process

Cited by 14 publications

References 26 publications

Strategic Integration of Real Options for Enhanced Valuation and Optimization in Mining Project Planning under Uncertainty: A Comprehensive Review

Strategic Integration of Real Options for Enhanced Valuation and Optimization in Mining Project Planning under Uncertainty: A Comprehensive Review

Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes

A new fuzzy simulation approach for project evaluation based on concepts of risk, strategy, and group decision making with interval-valued intuitionistic fuzzy sets

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