東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Real options valuation = the importa...

Schone, Max.

Linked to FindBook

Google Book

Amazon

博客來

Real options valuation = the importance of stochastic process choice in commodity price modelling /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Real options valuation/ by Max Schone.
Reminder of title:	the importance of stochastic process choice in commodity price modelling /
Author:	Schone, Max.
Published:	Wiesbaden :Springer Fachmedien Wiesbaden : : 2015.,
Description:	xiv, 104 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Prices. -
Online resource:	http://dx.doi.org/10.1007/978-3-658-07493-7
ISBN:	9783658074937 (electronic bk.)

Real options valuation = the importance of stochastic process choice in commodity price modelling /
Schone, Max.

Real options valuationthe importance of stochastic process choice in commodity price modelling /[electronic resource] :by Max Schone. - Wiesbaden :Springer Fachmedien Wiesbaden :2015. - xiv, 104 p. :ill., digital ;24 cm. - BestMasters. - BestMasters.

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.

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 Schone 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.

ISBN: 9783658074937 (electronic bk.)

Standard No.: 10.1007/978-3-658-07493-7doiSubjects--Topical Terms:

652651
Prices.

LC Class. No.: HB221

Dewey Class. No.: 338.52

Real options valuation = the importance of stochastic process choice in commodity price modelling /
LDR:02483nmm a2200349 a 4500 001 1994161
003 DE-He213
005 20150528100011.0
006 m d
007 cr nn 008maaau
008 151019s2015 gw s 0 eng d
020 $a 9783658074937 (electronic bk.)
020 $a 9783658074920 (paper)
024 7 $a 10.1007/978-3-658-07493-7 $2 doi
035 $a 978-3-658-07493-7
040 $a GP $c GP
041 0 $a eng
050 4 $a HB221
072 7 $a KFF $2 bicssc
072 7 $a KFFK $2 bicssc
072 7 $a BUS027000 $2 bisacsh
072 7 $a BUS004000 $2 bisacsh
082 0 4 $a 338.52 $2 23
090 $a HB221 $b .S371 2015
100 1 $a Schone, Max. $3 2132834
245 1 0 $a Real options valuation $h [electronic resource] : $b the importance of stochastic process choice in commodity price modelling / $c by Max Schone.
260 $a Wiesbaden : $b Springer Fachmedien Wiesbaden : $b Imprint: Springer Gabler, $c 2015.
300 $a xiv, 104 p. : $b ill., digital ; $c 24 cm.
490 1 $a BestMasters
505 0 $a 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.
520 $a 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 Schone 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.
650 0 $a Prices. $3 652651
650 0 $a Value. $3 571596
650 1 4 $a Economics/Management Science. $3 890844
650 2 4 $a Finance/Investment/Banking. $3 1530231
650 2 4 $a Management/Business for Professionals. $3 907045
650 2 4 $a Operation Research/Decision Theory. $3 1620900
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a BestMasters $3 2057993
856 4 0 $u http://dx.doi.org/10.1007/978-3-658-07493-7
950 $a Behavioral Science (Springer-11640)