Real Options Valuation / BestMasters (PDF)
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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.
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.
- Autor: Max Schöne
- 2014, 2015, 104 Seiten, Englisch
- Verlag: Gabler, Betriebswirt.-Vlg
- ISBN-10: 3658074930
- ISBN-13: 9783658074937
- Erscheinungsdatum: 27.09.2014
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Grösse: 2.16 MB
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