Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice (Lecture Notes in Economics and Mathematical Systems) by Marcus Schulmerich
Springer; 1 edition | September 13, 2005 | English | ISBN: 3540261915 | 357 pages | PDF | 44 MB
This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates.