000723714 000__ 03784cam\a2200505Ii\4500
000723714 001__ 723714
000723714 005__ 20230306140351.0
000723714 006__ m\\\\\o\\d\\\\\\\\
000723714 007__ cr\cn\nnnunnun
000723714 008__ 141009t20142015gw\a\\\\ob\\\\000\0\eng\d
000723714 019__ $$a908087657
000723714 020__ $$a9783658074937$$qelectronic book
000723714 020__ $$a3658074930$$qelectronic book
000723714 020__ $$z9783658074920
000723714 0247_ $$a10.1007/978-3-658-07493-7$$2doi
000723714 035__ $$aSP(OCoLC)ocn892625853
000723714 035__ $$aSP(OCoLC)892625853$$z(OCoLC)908087657
000723714 040__ $$aGW5XE$$beng$$erda$$epn$$cGW5XE$$dN$T$$dYDXCP$$dOCLCF$$dEBLCP
000723714 049__ $$aISEA
000723714 050_4 $$aHB221
000723714 08204 $$a338.5/2$$223
000723714 1001_ $$aSchöne, Max,$$eauthor.
000723714 24510 $$aReal options valuation$$h[electronic resource] :$$bthe importance of stochastic process choice in commodity price modelling /$$cMax Schöne.
000723714 264_1 $$aWiesbaden :$$bSpringer Gabler,$$c[2014]
000723714 264_4 $$c©2015
000723714 300__ $$a1 online resource (xiv, 104 pages) :$$billustrations.
000723714 336__ $$atext$$btxt$$2rdacontent
000723714 337__ $$acomputer$$bc$$2rdamedia
000723714 338__ $$aonline resource$$bcr$$2rdacarrier
000723714 4901_ $$aBestMasters
000723714 504__ $$aIncludes bibliographical references.
000723714 5050_ $$aForeword; Table of contents; List of figures; List of tables; List of abbreviations; 1 Introduction; 1.1 Problem and objective; 1.2 Course of investigation; 2 Data; 3 Empirical analysis; 3.1 Stationarity of prices; 3.2 Analysis of returns; 3.2.1 Stylised properties; 3.2.2 Jumps and GARCH effects; 4 Modelling commodity prices; 4.1 Stochastic processes; 4.1.1 Stochastic volatility; 4.1.2 Jump diffusion; 4.1.3 Lévy processes; 4.2 Model selection; 4.2.1 Calibration; 4.2.2 Goodness of fit; 5 Capital budgeting implications; 5.1 A stylised investment project; 5.2 Results; 6 Conclusion; Appendix
000723714 5058_ $$aAppendix AA1: Liquidity of commodity prices. A1:; A2: Historical price evolution. A1:; A3: Non-trading dates excluded from dataset (1); A3: Non-trading dates excluded from dataset (2); A4: In-sample APDF: Calibrated parameters (1); A4: In-sample APDF: Calibrated parameters (2); A5: Out-of-sample APDF: Calibrated parameters (1); A5: Out-of-sample APDF: Calibrated parameters (2); A6: Capital investment project: Valuation parameters; Appendix B; B1: Expected value and variance for GBM and the Vasicek model:; B2: Maximum likelihood calibration:; B3: Characteristic function and Fourier transforms
000723714 5058_ $$aB4: Quadratic exponential scheme for Heston and Bates processB5: Basis functions and confidence intervals in LSM; References
000723714 506__ $$aAccess limited to authorized users.
000723714 520__ $$aThe 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.
000723714 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed October 9, 2014).
000723714 650_0 $$aPrices.
000723714 650_0 $$aValue.
000723714 77608 $$iPrint version:$$aSchöne, Max$$tReal Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling$$dWiesbaden : Springer Fachmedien Wiesbaden,c2014$$z9783658074920
000723714 830_0 $$aBestMasters.
000723714 852__ $$bebk
000723714 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-658-07493-7$$zOnline Access$$91397441.1
000723714 909CO $$ooai:library.usi.edu:723714$$pGLOBAL_SET
000723714 980__ $$aEBOOK
000723714 980__ $$aBIB
000723714 982__ $$aEbook
000723714 983__ $$aOnline
000723714 994__ $$a92$$bISE