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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F10%3A00349558%21RIV11-AV0-67985556
rdf:type
n11:Vysledek skos:Concept
dcterms:description
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 financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague. 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 financial mathematics. This book was written as author's MSc thesis at FNSPE at CTU in Prague.
dcterms:title
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 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
skos:prefLabel
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 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
skos:notation
RIV/67985556:_____/10:00349558!RIV11-AV0-67985556
n4:aktivita
n17:Z
n4:aktivity
Z(AV0Z10750506)
n4:dodaniDat
n13:2011
n4:domaciTvurceVysledku
n5:3431576
n4:druhVysledku
n8:B
n4:duvernostUdaju
n10:S
n4:entitaPredkladatele
n6:predkladatel
n4:idSjednocenehoVysledku
281615
n4:idVysledku
RIV/67985556:_____/10:00349558
n4:jazykVysledku
n12:eng
n4:klicovaSlova
Real options, ,; Option pricing; Financial mathematics
n4:klicoveSlovo
n16:%20 n16:Financial%20mathematics n16:Option%20pricing n16:Real%20options
n4:kontrolniKodProRIV
[DC27D84E85FA]
n4:mistoVydani
Saarbrücken
n4:nazevZdroje
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
n4:obor
n18:BA
n4:pocetDomacichTvurcuVysledku
1
n4:pocetStranKnihy
80
n4:pocetTvurcuVysledku
1
n4:rokUplatneniVysledku
n13:2010
n4:tvurceVysledku
Veverka, Petr
n4:zamer
n19:AV0Z10750506
s:numberOfPages
80
n3:hasPublisher
LAP LAMBERT Academic Publishing
n15:isbn
978-3-8433-6571-0