EAN: 9783658074920

Bilder-Quelle: discount24.de - Sport-Freizeit

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 valuation results and optimal investment rules.

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28.03.2025 um 19:19 Uhr

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