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
1.
SYSNO ASEP
0349558
Document Type
B - Monograph
R&D Document Type
Monograph
Title
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
Author(s)
Veverka, Petr (UTIA-B)
Issue data
Saarbrücken: LAP LAMBERT Academic Publishing, 2010
ISBN
978-3-8433-6571-0
Number of pages
80 s.
Number of copy
201
Language
eng - English
Country
DE - Germany
Keywords
Real options, , ; Option pricing ; Financial mathematics
Subject RIV
BA - General Mathematics
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
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.
