Pricing of Real Options based on exponential mean reverting processes
Petr Veverka
Broschiertes Buch

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

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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 ...