Real Options Valuation [electronic resource] : The Importance of Stochastic Process Choice in Commodity Price
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Author: Schöne, Max, author, SpringerLink (Online service)
Added by: sketch
Added Date: 2016-01-12
Language: eng
Subjects: Economics, Industrial management, Operations research, Economics/Management Science, Finance/Investment/Banking, Management/Business for Professionals, Operation Research/Decision Theory
Publishers: Springer Fachmedien Wiesbaden
Collections: folkscanomy miscellaneous, folkscanomy, additional collections
ISBN Number: 9783658074937
Pages Count: 300
PPI Count: 300
PDF Count: 1
Total Size: 35.04 MB
PDF Size: 2.13 MB
Extensions: djvu, gif, pdf, gz, zip, torrent, mrc
Downloads: 666
Views: 716
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Media Type: texts
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Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling
Author: Max Schöne
Published by Springer Fachmedien Wiesbaden
ISBN: 978-3-658-07492-0
DOI: 10.1007/978-3-658-07493-7
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
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. 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 Target Groups Researchers and students in the field of Finance, Operations Research, and Management Professionals in the field of Corporate Finance / Operations Research / Consulting The Author 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
Author: Max Schöne
Published by Springer Fachmedien Wiesbaden
ISBN: 978-3-658-07492-0
DOI: 10.1007/978-3-658-07493-7
Table of Contents:
- Introduction
- Data
- Empirical analysis
- Modelling commodity prices
- Capital budgeting implications
- Conclusion
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
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. 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 Target Groups Researchers and students in the field of Finance, Operations Research, and Management Professionals in the field of Corporate Finance / Operations Research / Consulting The Author 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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