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 20240103194121.620101116235959.9 978-3-8433-6571-0 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. Real options, , Option pricing Financial mathematics cav_un_auth*0265650 Veverka Petr Ekonometrie Department of Econometrics E E UTIA-B Department of Stochastic Informatics Ústav teorie informace a automatizace AV ČR, v. v. i. CEZ:AV0Z10750506 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. 2011 BA http://hdl.handle.net/11104/0189761 2010 2010 Saarbrücken LAP LAMBERT Academic Publishing 978-3-8433-6571-0