國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Real options valuationthe importance...

Schone, Max.

Real options valuationthe importance of stochastic process choice in commodity price modelling /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Real options valuationby Max Schone.
其他題名:	the importance of stochastic process choice in commodity price modelling /
作者:	Schone, Max.
出版者:	Wiesbaden :Springer Fachmedien Wiesbaden :2015.
面頁冊數:	xiv, 104 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Prices.
電子資源:	http://dx.doi.org/10.1007/978-3-658-07493-7
ISBN:	9783658074937 (electronic bk.)

Real options valuationthe 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:

182958
Prices.

LC Class. No.: HB221

Dewey Class. No.: 338.52

Real options valuationthe importance of stochastic process choice in commodity price modelling /
LDR:02483nmm a2200349 a 4500 001 459712
003 DE-He213
005 20150528100011.0
006 m d
007 cr nn 008maaau
008 151110s2015 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 710628
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 182958
650 0 $a Value. $3 183508
650 1 4 $a Economics/Management Science. $3 273684
650 2 4 $a Finance/Investment/Banking. $3 511434
650 2 4 $a Management/Business for Professionals. $3 283813
650 2 4 $a Operation Research/Decision Theory. $3 585050
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a BestMasters $3 678262
856 4 0 $u http://dx.doi.org/10.1007/978-3-658-07493-7
950 $a Behavioral Science (Springer-11640)