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BestMasters

Real Options Valuation

The Importance of Stochastic Process Choice in Commodity Price Modelling

Authors: Schöne, Max

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  • ​Study in the field of economic science

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eBook $64.99
price for USA (gross)
  • ISBN 978-3-658-07493-7
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  • Immediate eBook download after purchase
Softcover $84.99
price for USA
  • ISBN 978-3-658-07492-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

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.

Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $64.99
price for USA (gross)
  • ISBN 978-3-658-07493-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $84.99
price for USA
  • ISBN 978-3-658-07492-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Real Options Valuation
Book Subtitle
The Importance of Stochastic Process Choice in Commodity Price Modelling
Authors
Series Title
BestMasters
Copyright
2015
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-07493-7
DOI
10.1007/978-3-658-07493-7
Softcover ISBN
978-3-658-07492-0
Series ISSN
2625-3577
Edition Number
1
Number of Pages
XIV, 104
Number of Illustrations
15 b/w illustrations
Topics