Real Options Valuation
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.
| Autor: | Schöne, Max |
|---|---|
| ISBN: | 9783658074920 |
| Sprache: | Englisch |
| Seitenzahl: | 104 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer Fachmedien Wiesbaden GmbH |
| Veröffentlicht: | 10.10.2014 |
| Untertitel: | The Importance of Stochastic Process Choice in Commodity Price Modelling |
| Schlagworte: | Commodity price modelling Corporate Finance Monte Carlo Simulation Real options valuation |
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.