| bibtype |
B -
Monography
|
| ARLID |
0349558 |
| utime |
20240103194121.6 |
| mtime |
20101116235959.9 |
| ISBN |
978-3-8433-6571-0 |
| title
(primary) (eng) |
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 |
| publisher |
| place |
Saarbrücken |
| name |
LAP LAMBERT Academic Publishing |
| pub_time |
2010 |
|
| specification |
|
| keyword |
Real options, , |
| keyword |
Option pricing |
| keyword |
Financial mathematics |
| author
(primary) |
| ARLID |
cav_un_auth*0265650 |
| name1 |
Veverka |
| name2 |
Petr |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| cas_special |
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2011 |
| RIV |
BA |
| permalink |
http://hdl.handle.net/11104/0189761 |
| arlyear |
2010 |
| mrcbU10 |
2010 |
| mrcbU10 |
Saarbrücken LAP LAMBERT Academic Publishing |
| mrcbU12 |
978-3-8433-6571-0 |
|