Real options valuation : the importance of stochastic process choice in commodity price modelling
著者
書誌事項
Real options valuation : the importance of stochastic process choice in commodity price modelling
（BestMasters）
Springer Gabler, c2015
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注記
Originally presented as the author's thesis (master) -- WHU-Otto Beisheim School of Management, 2014
Bibliography: p. 97-104
内容説明・目次
内容説明
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 Levy 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.
目次
Empirical Analysis of Statistical Commodity Price Properties.- Stochastic Volatility, Jump Diffusion, and Levy Processes.- Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method.
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