Coverart for item
The Resource Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling, by Max Schöne, (electronic resource)

Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling, by Max Schöne, (electronic resource)

Label
Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling
Title
Real Options Valuation
Title remainder
The Importance of Stochastic Process Choice in Commodity Price Modelling
Statement of responsibility
by Max Schöne
Creator
Author
Subject
Language
eng
Summary
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. Contents Empirical Analysis of Statistical Commodity Price Properties Stochastic Volatility, Jump Diffusion, and Lévy 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 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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Schöne, Max
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
RzhtAUVKbIA
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks
  • Springer eBooks.
  • BestMasters,
http://library.link/vocab/subjectName
  • Finance
  • Management
  • Operations research
Label
Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling, by Max Schöne, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-07493-7
Instantiates
Publication
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Empirical Analysis of Statistical Commodity Price Properties -- Stochastic Volatility, Jump Diffusion, and Lévy Processes -- Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method
Control code
978-3-658-07493-7
Dimensions
unknown
Extent
1 online resource (XIV, 104 pages)
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658074937
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
15 illustrations
Specific material designation
remote
System control number
(OCoLC)1014040166
Label
Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling, by Max Schöne, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-07493-7
Publication
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Empirical Analysis of Statistical Commodity Price Properties -- Stochastic Volatility, Jump Diffusion, and Lévy Processes -- Real Options Valuation Using Monte Carlo Simulation and the Longstaff-Schwartz Method
Control code
978-3-658-07493-7
Dimensions
unknown
Extent
1 online resource (XIV, 104 pages)
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658074937
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
15 illustrations
Specific material designation
remote
System control number
(OCoLC)1014040166

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...