Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling
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 a...
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2015
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oai:scholar.dlu.edu.vn:DLU123456789-594652023-11-11T06:41:22Z Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling Schöne, Max Science Management Economics Value Prices 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. 2015-12-17T01:33:07Z 2015-12-17T01:33:07Z 2015 Book 978-3-658-07493-7 978-3-658-07492-0 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59465 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Science Management Economics Value Prices |
| spellingShingle |
Science Management Economics Value Prices Schöne, Max Real Options Valuation: The Importance of Stochastic Process Choice in Commodity Price Modelling |
| description |
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. |
| format |
Book |
| author |
Schöne, Max |
| author_facet |
Schöne, Max |
| author_sort |
Schöne, Max |
| title |
Real Options Valuation:
The Importance of Stochastic Process Choice in Commodity Price Modelling |
| title_short |
Real Options Valuation:
The Importance of Stochastic Process Choice in Commodity Price Modelling |
| title_full |
Real Options Valuation:
The Importance of Stochastic Process Choice in Commodity Price Modelling |
| title_fullStr |
Real Options Valuation:
The Importance of Stochastic Process Choice in Commodity Price Modelling |
| title_full_unstemmed |
Real Options Valuation:
The Importance of Stochastic Process Choice in Commodity Price Modelling |
| title_sort |
real options valuation:
the importance of stochastic process choice in commodity price modelling |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59465 |
| _version_ |
1782547137213497344 |