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Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (BestMasters) - Softcover
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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.
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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.
Biografía del autor:
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.
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- VerlagSpringer Gabler
- Erscheinungsdatum2014
- ISBN 10 3658074922
- ISBN 13 9783658074920
- EinbandTapa blanda
- Anzahl der Seiten120
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Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling
Verlag:
Springer Fachmedien Wiesbaden
(2014)
ISBN 10: 3658074922
ISBN 13: 9783658074920
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Taschenbuch
Anzahl: 1
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Buchbeschreibung Taschenbuch. Zustand: Neu. 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. Artikel-Nr. 9783658074920
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Real Options Valuation
Verlag:
Springer Fachmedien Wiesbaden
(2014)
ISBN 10: 3658074922
ISBN 13: 9783658074920
Neu
Softcover
Anzahl: > 20
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Bewertung
Buchbeschreibung Zustand: New. Artikel-Nr. 5123657
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