ABSTRACT Project volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project volatility. This article takes into account that volatility may change not only with time but also with the state of the project. Two possible definitions for the project volatility are considered, the log-variance and the variance of the project value, and two simulation-based procedures are proposed for estimating state-dependent volatility: two-level simulation and one-and-a-half-level simulation. Computational experiments show that both procedures perform better than the method proposed by Copeland and Antikarov and that the one-and-a-half-level simulation procedure leads to the most accurate estimations of project volatility.

中文翻译：

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基于仿真的状态相关项目波动性估计

摘要 项目波动率是实物期权分析的基本参数，也可能对风险分析有用。许多波动率估计程序只考虑项目第一年的波动率。其他人则认为不同年份的项目波动率可能不同。本文考虑到波动性不仅会随着时间而变化，还会随着项目的状态而变化。考虑了项目波动性的两种可能定义，即项目价值的对数方差和方差，并提出了两种基于模拟的程序来估计与状态相关的波动性：两级模拟和一个半水平模拟。