Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling

Language: English

Published by Springer VS, 2014

3658074922 / 9783658074920

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783658074920

Title
Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling
Author
Max Schöne
Publisher
Springer VS
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3658074922
ISBN 13
9783658074920
Item weight
167 grams
Dimensions
210x148x7 mm

AHA-BUCH GmbH

Einbeck, Germany

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AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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