Erschienen: 10.10.2014 Abbildung von Schöne | Real Options Valuation | 2015 | 2014 | The Importance of Stochastic P...


Real Options Valuation

The Importance of Stochastic Process Choice in Commodity Price Modelling

2015 2014. Buch. xiv, 104 S. 15 s/w-Abbildungen, 8 s/w-Tabelle, Bibliographien. Softcover

Springer Gabler. ISBN 978-3-658-07492-0

Format (B x L): 14,8 x 21 cm

Gewicht: 168 g

In englischer Sprache

Das Werk ist Teil der Reihe: BestMasters


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.    Contents - 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 Target Groups - Researchers and students in the field of Finance, Operations Research, and Management - Professionals in the field of Corporate Finance / Operations Research / Consulting The Author 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.


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