Real Options Valuation: The Importance of Interest Rate Modelling in Theory And Practice: v. 559 - Brossura

Schulmerich, Marcus

Brossura

ISBN 10: 3540261915 ISBN 13: 9783540261919

Casa editrice: Springer Verlag, 2008

Riassunto

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. The book shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. For the first time, a systematic analysis based on simulations and historical backtesting compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically.

Su questo libro

Contenuti:

Introduction.- Real Options in Theory and Practice.- Stochastic Models for the Term Structure of Interest Rates.- Real Options Valuation Tools in Corporate Finance.- Analysis of Various Real Options in Simulations and Backtesting.- Summary and Outlook.

Su questa edizione

• Editore: Springer Verlag
• Data di pubblicazione: 2008
• ISBN 10: 3540261915
• ISBN 13: 9783540261919
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 357