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 |
|