Real Options Valuation
| Autor: | Max Schöne |
|---|---|
| EAN: | 9783658074937 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 27.09.2014 |
| Untertitel: | The Importance of Stochastic Process Choice in Commodity Price Modelling |
| Kategorie: | |
| Schlagworte: | Commodity price modelling Corporate Finance Monte Carlo Simulation Real options valuation |
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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.
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.
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.
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