Real Options Valuation: The Importance of Stochastic Process Choice in Commodity

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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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(BestMasters) Max Schne (auth.)-Real Options Valuation_ The Importance of Stocha.pdf (2.13 MB, 需要: 10 个论坛币)

2014-11-12 17:05:57 上传

Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling
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Series: BestMasters
Paperback: 104 pages
Publisher: Springer Gabler; 2015 edition (November 14, 2014)
Language: English
ISBN-10: 3658074922
ISBN-13: 978-3658074920
Product Dimensions: 5.8 x 0.3 x 8.3 inches
Shipping Weight: 5.6 ounces
http://www.amazon.com/Real-Options-Valuation-Importance-BestMasters/dp/3658074922/ref=sr_1_1_twi_1?ie=UTF8&qid=1415782062&sr=8-1&keywords=Real+Options+Valuation%3A+The+Importance+of+Stochastic+Process+Choice+in+Commodity+Price+Modelling

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关键词：importance Stochastic Valuation Commodity Stochast Choice investment attention realistic valuation

每天发这么多书，我要破产了

看看吧

大家开心 发表于 2014-11-12 17:06
The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves c ...

就是发再多的好书，我也要继续下

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see.....................

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