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Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (BestMasters)
Max Schöne
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Description for Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (BestMasters)
Paperback. Series: BestMasters. Num Pages: 104 pages, 15 black & white illustrations, 8 black & white tables, biography. BIC Classification: KFF; KJM; KJT. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 7. Weight in Grams: 168.
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.
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.
Product Details
Format
Paperback
Publication date
2014
Publisher
Springer Gabler
Condition
New
Series
BestMasters
Number of Pages
104
Place of Publication
, Germany
ISBN
9783658074920
SKU
V9783658074920
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Max Schöne
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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