Title: Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (BestMasters)
Publisher: Springer Gabler
Publication Date: 2014
Language: English
ISBN 10: 3658074922
ISBN 13: 9783658074920
Binding: Soft cover
Condition: New

About this title

Synopsis

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 L�vy 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.

About the Author

Max Sch�ne 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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