Schöne Real Options Valuation

The Importance of Stochastic Process Choice in Commodity Price Modelling
1. Auflage 2014
ISBN: 978-3-658-07493-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 104 Seiten, Web PDF

Reihe: Business and Economics

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

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.