Pricing of Real Options based on exponential mean reverting processes Год выпуска: 2010Автор: Petr VeverkaИздательство: LAP Lambert Academic PublishingСтраниц: 80ISBN: 9783843365710Описание 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.
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Сергей, 21.05 Диплом приняли. Спасибо
