Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling

Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling /

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 a...

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Bibliographic Details
Main Author: Schöne, Max (Author)
Format: Electronic eBook
Language:English
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2015.
Series:BestMasters.
Subjects:
Finance.
Management.
Operations research.
Decision making.
Finance, general.
Operation Research/Decision Theory.
Online Access:Connect to this title online
Table of 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.

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