TY  - GEN
N2  - 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 valuat.
DO  - 10.1007/978-3-658-07493-7
DO  - doi
AB  - 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 valuat.
T1  - Real options valuationthe importance of stochastic process choice in commodity price modelling /
AU  - Schöne, Max,
CN  - HB221
ID  - 723714
KW  - Prices.
KW  - Value.
SN  - 9783658074937
SN  - 3658074930
TI  - Real options valuationthe importance of stochastic process choice in commodity price modelling /
LK  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-658-07493-7
UR  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-658-07493-7
ER  -