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

Max Schöne

ISBN 10: 3658074922 / ISBN 13: 9783658074920

Published by Springer Vieweg, 2014

About this Item

Real Options Valuation | The Importance of Stochastic Process Choice in Commodity Price Modelling | Max Schöne | Taschenbuch | xiv | Englisch | 2014 | Springer Vieweg | EAN 9783658074920 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Seller Inventory # 105109214

Bibliographic Details

• Title: Real Options Valuation | The Importance of Stochastic Process Choice in Commodity Price Modelling
• Publisher: Springer Vieweg
• Publication Date: 2014
• Language: English
• ISBN 10: 3658074922
• ISBN 13: 9783658074920
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 210W x 148H x 7D millimeters 210 millimeters width by 148 millimeters height by 7 millimeters depth
• Weight: 167 grams
• Seller catalogs:
  • Bücher

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 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.

About 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.