rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Real Options Valuation
    sub title: The Importance of Stochastic Process Choice in Commodity Price Modelling
  name:
    name part: Schöne, Max.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2015
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIV, 104 p. 15 illus. online resource.
  abstract: 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. Contents 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 Target Groups Researchers and students in the field of Finance, Operations Research, and Management Professionals in the field of Corporate Finance / Operations Research / Consulting The Author 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.
  table of contents: 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.
  note: by Max Schöne.
  subject:
    topic: Finance
  subject:
    topic: Management
  subject:
    topic: Operations research
  subject:
    topic: Decision making
  subject:
    topic: Finance
  subject:
    topic: Finance, general
  subject:
    topic: Management
  subject:
    topic: Operation Research/Decision Theory
  classification: HG1-HG9999
  classification: 332
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: BestMasters
  identifier: 9783658074937
  identifier: http://dx.doi.org/10.1007/978-3-658-07493-7
  record info:
    record creation date: 140927
    record change date: 20151204171109.0
    record identifier: 978-3-658-07493-7