Real Options Valuation

The Importance of Stochastic Process Choice in Commodity Price Modelling
2015
ISBN: 978-3-658-07492-0
Verlag: Springer

Buch, Englisch, 104 Seiten, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 1657 g

Reihe: BestMasters

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.

Zielgruppe

Research

Autoren/Hrsg.

Schöne, Max

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe

Inhaltsverzeichnis

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.

Über Autor(innen)

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.