Bookcover of Pricing of Real Options based on exponential mean reverting processes
Booktitle:

Pricing of Real Options based on exponential mean reverting processes

Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset

LAP LAMBERT Academic Publishing (2010-10-20 )

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ISBN-13:

978-3-8433-6571-0

ISBN-10:
3843365717
EAN:
9783843365710
Book language:
English
Blurb/Shorttext:
This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting asset. In particular, we are interested in modelling the possibility of selling a poorly performing asset for a predetermined price L. Firstly, the option is considered to be homogenous in time, i.e. its value is only a function of the asset price, then we comprise the time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting process. The book assumes some basic knowledge of stochastic analysis, numerical methods and financial mathematics. This book was written as author''s MSc thesis at FNSPE at CTU in Prague.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Petr Veverka
Number of pages:
80
Published on:
2010-10-20
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
49.00 €
Keywords:
Real Option, option pricing, Numerical methods in finance, Exponential mean-reverting process

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