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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 - UTIA-B 2011 RIV DE eng B - Monografie kniha jako celek
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
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: Real options, , * Option pricing * Financial mathematics
Kód oboru RIV: BA - Obecná matematika
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.
Trvalý link: http://hdl.handle.net/11104/0189761