Real Options Valuation The Importance of Stochastic Process Choice in Commodity Price Modelling /

• Main Author: Schöne, Max (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2015.
• Series: BestMasters
• Subjects: Finance.; Management.; Operations research.; Decision making.; Finance, general.; Operation Research/Decision Theory.

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 a...

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.