| Description |
1 online resource (xvi, 357 pages) : illustrations |
| Series |
Lecture notes in economics and mathematical systems ; 559 |
|
Lecture notes in economics and mathematical systems ; 559.
|
| Contents |
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 |
| Summary |
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 |
| Notes |
Originally presented as the author's thesis (doctoral)--European Business School, Oestrich-Winkel, Germany |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| In |
OhioLINK electronic book center |
|
SpringerLink |
| Subject |
Real options (Finance) -- Mathematical models
|
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Interest rates -- Mathematical models
|
|
BUSINESS & ECONOMICS -- Investments & Securities -- General.
|
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Affaires.
|
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Science économique.
|
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Economie de l'entreprise.
|
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Interest rates -- Mathematical models
|
| Form |
Electronic book
|
| ISBN |
3540261915 |
|
9783540261919 |
|
9783540285120 |
|
3540285121 |
|
