Real options valuation : the importance of interest rate modelling in theory and practice. Lecture notes in economics and mathematical systems ; Vol. 559.

Schulmerich, Marcus

ISBN 10: 3540261915 / ISBN 13: 9783540261919

Published by Berlin ; Heidelberg ; New York : Springer, 2005

About this Item

XVI, 357 S. : graph. Darst. ; 24 cm. Sprache: eng.

Seller Inventory # 0246-088

Bibliographic Details

• Title: Real options valuation : the importance of interest rate modelling in theory and practice. Lecture notes in economics and mathematical systems ; Vol. 559.
• Publisher: Berlin ; Heidelberg ; New York : Springer
• Publication Date: 2005
• Language: English
• ISBN 10: 3540261915
• ISBN 13: 9783540261919
• Binding: Broschur
• Condition: sehr gut
• Seller catalogs:
  • Wirtschaftswissenschaften

About this title

Synopsis

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. The book shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. For the first time, a systematic analysis based on simulations and historical backtesting compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically.

From the Back Cover

This book analyzes real options valuation for non-constant versus constant interest rates using simulations and historical backtesting. It provides a systematic analysis and compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically. Real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. The major change in this second edition is the expanded number of tested scenarios. The second edition contains an expanded number of tested scenarios covering the time period of the financial crisis 2008, one of the worst stock market crashes in history. The findings confirm the results provided in the first edition.