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100   $a20140927d2015      u|         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aReal Options Valuation $eThe Importance of Stochastic Process Choice in Commodity Price Modelling /$fby Max Schöne
205   $a1st ed. 2015.
210  1$aWiesbaden :$cSpringer Fachmedien Wiesbaden :$cImprint: Springer Gabler,$d2015.
215   $a1 online resource (114 p.)
225 1 $aBestMasters,$x2625-3577
300   $a"BestMasters"--Cover.
311   $a3-658-07492-2 
320   $aIncludes bibliographical references.
327   $aEmpirical 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.
330   $aThe Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common assumptions, prices are often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment project. The valuation results suggest that stochastic process choice can have substantial implications for valuation results and optimal investment rules.    Contents Empirical Analysis of Statistical Commodity Price Properties Stochastic Volatility, Jump Diffusion, and Lévy Processes Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method Target Groups Researchers and students in the field of Finance, Operations Research, and Management Professionals in the field of Corporate Finance / Operations Research / Consulting The Author Max Schöne is a Ph.D. student at the WHU ? Otto Beisheim School of Management with a research focus on real options valuation and decision making under uncertainty.
410  0$aBestMasters,$x2625-3577
606   $aFinance
606   $aManagement
606   $aOperations research
606   $aDecision making
606   $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000
606   $aManagement$3https://scigraph.springernature.com/ontologies/product-market-codes/515000
606   $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000
615  0$aFinance.
615  0$aManagement.
615  0$aOperations research.
615  0$aDecision making.
615 14$aFinance, general.
615 24$aManagement.
615 24$aOperations Research/Decision Theory.
676   $a330
676   $a650
676   $a657.8333
676   $a658.152
700   $aSchöne$b Max$4aut$4http://id.loc.gov/vocabulary/relators/aut$01061695
906   $aBOOK
912   $a9910298475903321
996   $aReal Options Valuation$92519736
997   $aUNINA