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

0349558 - ÚTIA 2011 RIV DE eng B - Monography
Veverka, Petr
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.
Saarbrücken: LAP LAMBERT Academic Publishing, 2010. 80 s. ISBN 978-3-8433-6571-0
Institutional research plan: CEZ:AV0Z10750506
Keywords : Real options, , * Option pricing * Financial mathematics
Subject RIV: BA - General Mathematics

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.
Permanent Link: http://hdl.handle.net/11104/0189761