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Real Options Valuation

The Importance of Stochastic Process Choice in Commodity Price Modelling

Max Schöne (Autor)

Buch | Softcover

XIV, 104 Seiten

2014 | 2015
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-07492-0 (ISBN)

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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.

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.

Erscheint lt. Verlag	10.10.2014
Reihe/Serie	BestMasters
Zusatzinfo	XIV, 104 p. 15 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	168 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	Commodity price modelling • Corporate Finance • Monte Carlo simulation • Real options valuation
ISBN-10	3-658-07492-2 / 3658074922
ISBN-13	978-3-658-07492-0 / 9783658074920
Zustand	Neuware