Real Options Valuation
The Importance of Stochastic Process Choice in Commodity Price Modelling
(Sprache: Englisch)
The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common...
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Klappentext zu „Real Options Valuation “
The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common assumptions, prices are often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment project. The valuation results suggest that stochastic process choice can have substantial implications for valuation results and optimal investment rules.
Inhaltsverzeichnis zu „Real Options Valuation “
- Empirical Analysis of Statistical Commodity Price Properties- Stochastic Volatility, Jump Diffusion, and Lévy Processes
- Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method
Autoren-Porträt von Max Schöne
Max Schöne is a Ph.D. student at the WHU - Otto Beisheim School of Management with a research focus on real options valuation and decision making under uncertainty.
Bibliographische Angaben
- Autor: Max Schöne
- 2014, 2015, XIV, 104 Seiten, Maße: 14,8 x 21 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3658074922
- ISBN-13: 9783658074920
- Erscheinungsdatum: 10.10.2014
Sprache:
Englisch
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