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- DescriptionThe 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 n-stationary and exhibit n-rmally 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.
- Author BiographyMax 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.
- Author(s)Max Schone
- PublisherSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Date of Publication28/09/2014
- SubjectManagement Techniques: Professional
- Series TitleBestMasters
- Country of PublicationGermany
- ImprintSpringer Gabler
- Content Note15 black & white illustrations, 8 black & white tables, biography
- Weight168 g
- Width148 mm
- Height210 mm
- Spine7 mm
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