Advertisement
Published in:
2010 | OriginalPaper | Chapter
Summary and Outlook
Author : Dr. Marcus Schulmerich, CFA, FRM
Published in: Real Options Valuation
Publisher: Springer Berlin Heidelberg
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
This book analyzed real options valuation for non-constant risk-free interest rates, especially for stochastically modelled risk-free interest rates, in simulation and historical backtesting. Since this is the second edition, its main purpose was to examine the validity of the findings of the first edition for many more analyzed historical backtesting scenarios and for a much longer time period than in the first edition. Several real options cases were investigated and combined with various pricing tools and stochastic term structure models. Additionally, preliminary tests were conducted to see how various choices of model inherent parameters (number of simulated short-rate paths, discretization parameters for the time and the state axis of pricing tools, etc.) influence the outcome of the respective pricing tool.