| |
|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910298475903321 |
|
|
Autore |
Schöne Max |
|
|
Titolo |
Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling / / by Max Schöne |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Wiesbaden : , : Springer Fachmedien Wiesbaden : , : Imprint : Springer Gabler, , 2015 |
|
|
|
|
|
|
|
|
|
ISBN |
|
|
|
|
|
|
Edizione |
[1st ed. 2015.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (114 p.) |
|
|
|
|
|
|
Collana |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
|
|
Soggetti |
|
Finance |
Management |
Operations research |
Decision making |
Finance, general |
Operations Research/Decision Theory |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references. |
|
|
|
|
|
|
Nota di contenuto |
|
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. |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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. |
|
|
|
|
|
| |