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| Content Provider | Springer Nature Link |
|---|---|
| Author | Diepold, Dennis Ullrich, Christian Wehrmann, Alexander Zimmermann, Steffen |
| Copyright Year | 2011 |
| Abstract | Viele Investitionen in IT-Projekte – insbesondere IT-Infrastrukturinvestitionen – lassen sich in Unternehmen nur dadurch ökonomisch rechtfertigen, dass sie notwendige Voraussetzung für die Durchführung ertragsversprechender Folgeprojekte sind. Solche intertemporalen Abhängigkeiten zwischen IT-Projekten sind bei der Beurteilung von IT-Investitionen im Rahmen eines wertorientierten IT-Portfoliomanagements zu berücksichtigen. In der Literatur wird hierzu häufig auf die Realoptionstheorie und Optionsbewertungsmodelle aus der Finanztheorie wie bspw. das Binomialmodell oder das Black-Scholes-Modell verwiesen. Diese Modelle setzen die Existenz eines vollständigen Kapitalmarkts voraus. Da IT-Projekte jedoch in der Realität häufig durch nicht am Kapitalmarkt duplizierbare, projektspezifische Risiken gekennzeichnet sind, ist die direkte Anwendbarkeit der Modelle problematisch. Vor diesem Hintergrund wurden in der Literatur bereits entscheidungstheoretische Erweiterungen des diskreten Binomialmodells entwickelt, die eine korrekte Berücksichtigung projektspezifischer Risiken ermöglichen. In diesem Beitrag werden diese entscheidungstheoretischen Erweiterungen auf das stetige Black-Scholes-Modell übertragen und erstmalig im Rahmen eines realen Fallbeispiels angewendet. Dabei werden mögliche Auswirkungen der Berücksichtigung projektspezifischer Risiken auf IT-Investitionsentscheidungen veranschaulicht.Companies often decide in favour of IT investments (especially IT infrastructure investments) only because these investments build the foundation for more lucrative follow-up investments. Those intertemporal interdependencies among IT projects have to be considered within the scope of a value-based IT portfolio management. Therefore, current literature suggests the use of real options analysis—and therefore the application of option pricing models such as the binomial model or the Black-Scholes model. Both models require a complete market. However, because IT projects are characterized by project specific risks, which cannot be duplicated on a capital market, the forthright application of these models is problematic. This issue has been addressed within the scope of the discrete binomial model so far. In this paper we transfer these findings to the Black-Scholes model. Furthermore, we apply this approach to a real case and illustrate how a correct consideration of project specific risks using the Black-Scholes model can affect investment decisions. |
| Starting Page | 805 |
| Ending Page | 831 |
| Page Count | 27 |
| File Format | |
| ISSN | 00442372 |
| Journal | Zeitschrift für Betriebswirtschaft |
| Volume Number | 81 |
| Issue Number | 7-8 |
| e-ISSN | 18618928 |
| Language | English |
| Publisher | SP Gabler Verlag |
| Publisher Date | 2011-06-16 |
| Publisher Place | Wiesbaden |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Real options Black-Scholes model Project-specific risks Partially complete market Accounting/Auditing Organization/Planning Management/Business for Professionals Business/Management Science Production/Logistics/Supply Chain Human Resource Management |
| Content Type | Text |
| Resource Type | Article |
| Subject | Business and International Management Economics and Econometrics |
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