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.
| ISBN: | 9783658074920 |
| Publication date: | 10th October 2014 |
| Author: | Max Schöne |
| Publisher: | Springer Gabler an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 104 pages |
| Series: | BestMasters |
| Genres: |
Finance and the finance industry Management decision making Operational research Management and management techniques |
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.
Real Options Valuation features in the following genres: Finance and the finance industry, Management decision making, Operational research, Management and management techniques
Paperback. Not Available.
Real Options Valuation was written by Max Schöne and published by Springer Gabler an imprint of Springer Fachmedien Wiesbaden
Real Options Valuation has 104 pages
Yes it is part of BestMasters series