Holdings: Real Options Valuation

Real Options Valuation: the Importance of Stochastic Process Choice in Commodity Price Modelling

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Bibliographic Details
Main Author:	Schöne, Max (Author)
Format:	Thesis Electronic eBook
Language:	English
Published:	Wiesbaden Springer Gabler [2015]
Series:	BestMasters
Subjects:	Management Wirtschaft Economics Industrial management Operations research Economics/Management Science Hochschulschrift
Online Access:	BTU01 FAB01 FAW01 FHN01 FHO01 FHR01 FLA01 FRO01 FWS01 FWS02 UBM01 UBT01 UBY01 Volltext Inhaltsverzeichnis Abstract
Physical Description:	Online-Ressource (XIV, 104 p. 15 illus)
ISBN:	9783658074937
DOI:	10.1007/978-3-658-07493-7

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Record in the Search Index

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adam_text	REAL OPTIONS VALUATION / SCHOENE, MAX : 2015 TABLE OF CONTENTS / INHALTSVERZEICHNIS 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 DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. REAL OPTIONS VALUATION / SCHOENE, MAX : 2015 ABSTRACT / INHALTSTEXT 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. CONTENTS 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 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 SCHOENE 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 DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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spellingShingle	Schöne, Max Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling Management Wirtschaft Economics Industrial management Operations research Economics/Management Science
subject_GND	(DE-588)4113937-9
title	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling
title_auth	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling
title_exact_search	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling
title_full	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling Max Schöne
title_fullStr	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling Max Schöne
title_full_unstemmed	Real Options Valuation the Importance of Stochastic Process Choice in Commodity Price Modelling Max Schöne
title_short	Real Options Valuation
title_sort	real options valuation the importance of stochastic process choice in commodity price modelling
title_sub	the Importance of Stochastic Process Choice in Commodity Price Modelling
topic	Management Wirtschaft Economics Industrial management Operations research Economics/Management Science
topic_facet	Management Wirtschaft Economics Industrial management Operations research Economics/Management Science Hochschulschrift
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work_keys_str_mv	AT schonemax realoptionsvaluationtheimportanceofstochasticprocesschoiceincommoditypricemodelling

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