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Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice (Repost)

Posted By: zolao
Date: 8 Aug 2013 00:08:36
Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice (Repost)

Marcus Schulmerich, "Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice"
2005 | pages: 366 | ISBN: 3540261915 | PDF | 14,4 mb

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.

Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice (Repost)

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