Pricing of Real Options based on exponential mean reverting processes: Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset

 
9783843365710: Pricing of Real Options based on exponential mean reverting processes: Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset

This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague.

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About the Author:

Studied at the Faculty of Nuclear Sciences and Physical Engineering at CTU in Prague where he obtained his MSc (degree with honours) in Applied Mathematics. He is currently doing his Ph.D. in Stochastic Control at the same faculty and works at Czech Academy of Sciences. His non-mathematical interests include playing djembe and tea culture.

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Book Description Book Condition: New. Publisher/Verlag: LAP Lambert Academic Publishing | Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset | This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague. | Format: Paperback | Language/Sprache: english | 80 pp. Bookseller Inventory # K9783843365710

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Book Description LAP Lambert Acad. Publ. Okt 2010, 2010. Taschenbuch. Book Condition: Neu. Neuware - This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague. 80 pp. Englisch. Bookseller Inventory # 9783843365710

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Book Description LAP Lambert Acad. Publ. Okt 2010, 2010. Taschenbuch. Book Condition: Neu. Neuware - This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague. 80 pp. Englisch. Bookseller Inventory # 9783843365710

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Book Description LAP Lambert Academic Publishing, Germany, 2010. Paperback. Book Condition: New. Language: English . Brand New Book. This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author s MSc thesis at FNSPE at CTU in Prague. Bookseller Inventory # KNV9783843365710

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Book Description LAP Lambert Acad. Publ. Okt 2010, 2010. Taschenbuch. Book Condition: Neu. This item is printed on demand - Print on Demand Neuware - This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague. 80 pp. Englisch. Bookseller Inventory # 9783843365710

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