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Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (20

by Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (2015)

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Description

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.

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Product Details

  • Springer Gabler Brand
  • Oct 10, 2014 Pub Date:
  • 9783658074920 ISBN-13:
  • 3658074922 ISBN-10:
  • English Language
  • 8.27 in * 0.28 in * 5.83 in Dimensions:
  • 4 lb Weight: