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Real Options Valuation

Name: Real Options Valuation
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 07176467
Price: 80.59 EUR
Availability: InStock
Author: Max Schöne
ISBN: 9783658074920

The Importance of Stochastic Process Choice in Commodity Price Modelling

Max Schöne

Language

English

Book Paperback

Libristo code: 07176467

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, September 2014

The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves c... Full description

Libristo code: 07176467

197 b

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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.