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Real Options Valuation
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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.
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.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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stochastic term structure models, salvage factor, real options valuation tools, mean reversion force, interest rate simulated, binomial tree method, backtesting period, real options cases, five test situations, flat initial yield curve, binomial tree case, complex real options, real options types, various real options, mean reversion feature, real options pricing methods, real options situations, mean reversion level, future interest rate paths, stochastic interest rate models, given underlying value, simulation time points, real options valuation methods, embedded real options, real options value Key Phrases - Capitalized Phrases (CAPs): (learn more)
Corporate Finance, Standard Brownian Motion, Monte Carlo, Geometric Brownian Motion, Ho-Lee Hull-White, Discretization of Continuous-Time Stochastic Processes, Financial Engineering, Recapitulation of the Main Results, Sloan School of Management, T-year Zero New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
stochastic term structure models, salvage factor, real options valuation tools, mean reversion force, interest rate simulated, binomial tree method, backtesting period, real options cases, five test situations, flat initial yield curve, binomial tree case, complex real options, real options types, various real options, mean reversion feature, real options pricing methods, real options situations, mean reversion level, future interest rate paths, stochastic interest rate models, given underlying value, simulation time points, real options valuation methods, embedded real options, real options value Key Phrases - Capitalized Phrases (CAPs): (learn more)
Corporate Finance, Standard Brownian Motion, Monte Carlo, Geometric Brownian Motion, Ho-Lee Hull-White, Discretization of Continuous-Time Stochastic Processes, Financial Engineering, Recapitulation of the Main Results, Sloan School of Management, T-year Zero New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 64
books:
See all 64 books this book cites
- Corporate Finance (McGraw-Hill/Irwin Series in Finance, Insurance, and Real Est) by Stephen A. Ross on 6 pages
- Corporate Finance by Stephen A. Ross on 6 pages
- Corporate Finance by Stephen A. Ross on 6 pages
- Solutions Manual for Corporate Finance by Stephen A. Ross on 6 pages
- Principles of Corporate Finance: WITH Student CD, Ethics in Finance PowerWeb AND Standard and Poor's by Richard A. Brealey on 4 pages
See all 64 books this book cites
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