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Beschreibung
The mathematical theory of finance, involves a stochastic framework in
which the theory of real options can serve as a tool for practically
oriented decision making in the face of uncertainty. This book
examines a new framework for classifying real options from a
management and a valuation perspective, giving the advantages and
disadvantages of the approach. Impulse control theory and the theory
of optimal stopping are used to construct arbitrarily complex real
option models that can be solved numerically and yield optimal capital
market strategies and values. Various examples demonstrate the
potential of this framework.
The mathematical theory of finance, involves a stochastic framework in
which the theory of real options can serve as a tool for practically
oriented decision making in the face of uncertainty. This book
examines a new framework for classifying real options from a
management and a valuation perspective, giving the advantages and
disadvantages of the approach. Impulse control theory and the theory
of optimal stopping are used to construct arbitrarily complex real
option models that can be solved numerically and yield optimal capital
market strategies and values. Various examples demonstrate the
potential of this framework.
Zusammenfassung
The mathematical theory of finance, involves a stochastic framework in
which the theory of real options can serve as a tool for practically
oriented decision making in the face of uncertainty. This book
examines a new framework for classifying real options from a
management and a valuation perspective, giving the advantages and
disadvantages of the approach. Impulse control theory and the theory
of optimal stopping are used to construct arbitrarily complex real
option models that can be solved numerically and yield optimal capital
market strategies and values. Various examples demonstrate the
potential of this framework.
Inhaltsverzeichnis
1 Overview.- 1.1 Background and Objectives of the Study.- 1.2 Organization of the Study.- 2 Introduction to Real Options.- 2.1 Basic Idea.- 2.2 Classification of Real Options.- 2.3 Discussion of the Real Options Approach.- 2.4 Conclusions.- 3 Real Options and Stochastic Control.- 3.1 Real Option Interactions and Stochastic Control.- 3.2 Introduction to Impulse Control and Optimal Stopping.- 3.3 Impulse Control Model for Valuing Real Options.- 3.4 Combined Impulse Control and Optimal Stopping.- 4 Valuing Real Options in a Stochastic Control Framework.- 4.1 Equivalence of Stochastic Control and Contingent Claims Analysis.- 4.2 Contingency Structure of Option Interactions.- 4.3 Example: Timing and Intensity of Investment.- 5 Extensions: Competition and Time Delay Effects.- 5.1 Competitive Interaction.- 6 Case Study: Flexibility in the Manufacturing Industry.- 6.1 Real Options and Volume Flexibility.- 6.2 Model.- 6.4 Numerical Analysis.- 6.5 Simulation Results.- 7 Conclusions and Extensions.
Details
Erscheinungsjahr: 2011
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Importe, Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Inhalt: 288 S.
ISBN-13: 9781461274018
ISBN-10: 146127401X
Sprache: Englisch
Einband: Kartoniert / Broschiert
Autor: Vollert, Alexander
Hersteller: Birkhäuser
Birkhäuser Boston
Verantwortliche Person für die EU: Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, D-14197 Berlin, juergen.hartmann@springer.com
Maße: 235 x 155 x 16 mm
Von/Mit: Alexander Vollert
Erscheinungsdatum: 21.10.2011
Gewicht: 0,441 kg
Artikel-ID: 106373279