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portada Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (Bestmasters)
Type
Physical Book
Publisher
Author
Year
2014
Language
English
Pages
120
Format
Paperback
ISBN13
9783658074920
Edition No.
2015
Categories

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

Max Schöne (Author) · Springer Gabler · Paperback

Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (Bestmasters) - Max Schöne

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Synopsis "Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling (Bestmasters) "

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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