Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling by Max SchReal Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling by Max Sch

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

byMax Sch

Paperback | October 10, 2014

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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.
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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Title:Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price ModellingFormat:PaperbackProduct dimensions:104 pages, 21 × 14.8 × 0.17 inShipping dimensions:21 × 14.8 × 0.17 inPublished:October 10, 2014Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3658074922

ISBN - 13:9783658074920

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Table of Contents

Empirical Analysis of Statistical Commodity Price Properties.- Stochastic Volatility, Jump Diffusion, and Lévy Processes.- Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method.