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  Valuation of Pharmaceutical R&D Investments
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Ophav

 Ophav:
Dubayev, Magomed1, Forfatter
Vedelsby, Michael 2, Vejleder
Norman Sørensen, Peter2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: Investering, Real Options
 Abstract: -
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Valuation of Pharmaceutical R&D Investments.pdf (Hovedtekst)
Bemærkninger:
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Tilgængelighed:
Embargo-periode (til dato 2015-06-01)
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application/pdf / 12MB
Copyright dato:
2013-05-31
Copyright information:
De fulde rettigheder til dette materiale tilhører forfatteren.
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:47226:1
 Type: Speciale
Alternativ titel: Real Options Approach
Alternativ titel: Værdiansættelse af Farmaceutiske R&D Investeringer
Alternativ titel: Real Options Tilgang
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Detaljer

Sprog: English - eng
 Datoer: 2013-04-03
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: Chapter 1: Background and introduction . 4
1.1 Motivation and goals . 4
1.2 Structure . 5
Chapter 2: Real Options Approach to Capital Investments . 7
2.1 Traditional Capital Budgeting and Real Options Approach to Capital Investment. 7
2.1.1 Managerial Flexibility in corporate investments 7
2.1.2 Investing to create options and Intraproject Compoundness 8
2.1.3 Preliminary example of pharmaceutical investments . 9
2.2 Summary. 13
Chapter 3: Valuation Model 15
3.1 Introduction: Modeling uncertainty and identification of real options 15
3.1.1 Cost Uncertainty . 16
3.1.2 Market uncertainty and probability of catastrophic events . 17
3.2 Deriving the Bellman equation and obtaining the solution . 18
3.3 Valuation by traditional NPV method . 22
Chapter 4: Data . 24
4.1 Estimating the Risk Premium and volatility: and . 24
4.2 Total Costs, Investment rate and Cost uncertainty: . 25
4.3 Probability of catastrophic events: . 27
4.4 Asset Values and the drift component, 28
Chapter 5: Solution and Sensitivity Analysis 30
5.1 Numerical Solution . 30
5.2 Sensitivity Analysis . 39
5.2.1 Market Uncertainty, . . 39
5.2.2 Cost Uncertainty, . . 41
5.2.3 Catastrophic events, . 44
5.3 Summary. 46
Chapter 6: Extension 48
6.1 The Model 48
6.1.1 Value of an active project . 49
6.1.2 Value of the investment opportunity: . 53
6.2 Extended model: Numerical Solution and Sensitivity Analysis 54
6.2.1 Market Uncertainty, . . 55
6.2.2 Cost Uncertainty, . . 58
6.3 Summary. 59
Chapter 7: Discussion . 60
7.1 Model results and implications for valuation of pharmaceutical R&D investments . 60
7.2 Sensitivity of the Numerical Solution . 63
7.3 Stochastic Processes 68
7.3.1 Cost uncertainty 68
7.3.2 Asset value uncertainty . 70
7.4 Estimation of underlying parameters . 71
7.4.1 Risk Premium 71
7.4.2 Market uncertainty, . 73
7.4.3 Simulation approach to volatility estimation 74
7.4.4 Multiple Phases 76
7.5 Alternative Approaches . 79
 Note: -
 Type: Speciale
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