Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice - Lecture Notes in Economics and Mathematical Systems v. 559 (Paperback)
  • Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice - Lecture Notes in Economics and Mathematical Systems v. 559 (Paperback)
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Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice - Lecture Notes in Economics and Mathematical Systems v. 559 (Paperback)

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£76.50
Paperback 380 Pages / Published: 19/07/2005
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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. The book shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. For the first time, a systematic analysis based on simulations and historical backtesting compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540261919
Number of pages: 380
Weight: 1170 g
Dimensions: 156 x 234 x 19 mm

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