Real Option Modeling and Valuation: A Decision Analysis Approach using DPL and Excel

James A. DiLellio

Dec 2022 · James A. DiLellio

About this ebook

The application of option pricing methods, which were initially developed for financially-traded assets, are now often applied to the valuation of options on real assets. Real options, or options on real assets, supplements standard discounted cash flow valuation approaches by including the value of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gap between theory and practice using the commercially available software program DPL© (Decision Programming Language) and Excel® to provide a decision tree approach to valuation using real options. 

Companion website: https://sites.google.com/view/real-options

Ratings and reviews

Written in a direct and straightforward manner, Dr. DiLellio balances theory, application, and implementation in this excellent book on Real Option Modeling. From the succinct writing to the screen shots and visual references, the book does an excellent job of walking the reader through the Real Option Model and Valuation process "step by step". And what is more, through his experiences as both an academic and a practitioner, Dr. DiLellio achieves the elusive balance between theoretical context setting and practical application! I highly recommend it. -Matt Munson, Asst Professor, Chapman University

Very straightforward content and theory in this book. And there are many practical models that can be applied into the real world. It's worth having one.

Highly recommended. Very helpful for the concepts of real options valuation.

About the author

Dr. DiLellio has over a decade of domestic and international experience in the aerospace and defense industry. He most recently served as a department manager for Raytheon, where he was responsible for over 70 system engineers serving the engineering development needs of a diverse government and commercial customer base. He has also served as a senior manager at The Boeing Company, and previously held key engineering appointments at Raytheon Systems Company and The Aerospace Corporation. Dr. DiLellio’s current research interests are primarily in the area of nonlinear optimization, simulation, and Kalman filtering techniques for modeling investment problems. The application of this research covers portfolio management, retirement planning, commodity price modeling, and the analysis of investmentstrategies.
This work has led to over a dozen published articles, including recentlyin Decision Science, Energy Economics, Journal of Economics and Finance, Financial Services Review, Journal of Investing, as well as two U.S. patents on Global Positioning System (GPS) technology.  Dr. DiLellio was also recognized in 2013 as one of 17 ETF (Exchange Traded Fund) friendly professors by ETFdB.com. He is also the coauthor of “StatCity: Statistics Methods for Business Practitioners”,published by Google Play Books, and has previously taught at Northwestern University and the University of Akron. Dr. DiLellio earned his Ph.D. and M.S. degrees from Northwestern University and holds a M.B.A. degree from Pepperdine University.