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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.
| Autorius: | Max Schöne |
| Serija: | BestMasters |
| Leidėjas: | Springer Fachmedien Wiesbaden |
| Išleidimo metai: | 2014 |
| Knygos puslapių skaičius: | 120 |
| ISBN-10: | 3658074922 |
| ISBN-13: | 9783658074920 |
| Formatas: | 210 x 148 x 7 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling“
