Real options valuation [electronic resource] : the importance of stochastic process choice in commodity price modelling / Max Schöne.
Schöne, Max, author.
2014
HB221
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Title Real options valuation [electronic resource] : the importance of stochastic process choice in commodity price modelling / Max Schöne.
Author Schöne, Max, author.
ISBN 9783658074937 electronic book
3658074930 electronic book
9783658074920
DOI https://doi.org/10.1007/978-3-658-07493-7
Published Wiesbaden : Springer Gabler, [2014]
Copyright ©2015
Language English
Description 1 online resource (xiv, 104 pages) : illustrations.
Other Standard Identifiers 10.1007/978-3-658-07493-7 doi
Call Number HB221
Dewey Decimal Classification 338.5/2
Summary 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.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed October 9, 2014).
Series BestMasters.
Available in Other Form Real Options Valuation : The Importance of Stochastic Process Choice in Commodity Price Modelling
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Foreword; 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

Appendix 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

B4: Quadratic exponential scheme for Heston and Bates processB5: Basis functions and confidence intervals in LSM; References

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