Various Interest Rates Models Used within Real Options Valuation Tools

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F16%3A43930589" target="_blank" >RIV/49777513:23510/16:43930589 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Various Interest Rates Models Used within Real Options Valuation Tools
Original language description
The paper is focused on real options valuation tools in corporate finance. The importance of valuation of real options stems from the fact that it provides more flexible tool for assessment of opportunities within investment projects. Hence, real options represent interesting managerial instrument for investment project evaluation along with traditional procedures based upon cash flows scenes. First, the classical discounted cash flow method is reviewed briefly. Further, we are focused on analytical and numerical methods for real options pricing. Depending on assumptions relating interest rates, there are divided into two groups. The first group of methods is based upon constant interest rate, whilst the second one is based upon stochastic interest rates. We discuss Schwartz-Moon model, Heston model and generalized Black-Scholes model, in particular. We have elaborated numerical implementation of the Heston model and the generalized B-S model in sw Mathematica. Finally, we present some interesting numerical results of both models.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA15-20405S" target="_blank" >GA15-20405S: Modelling of processes on financial markets and prediction of firm default by real options</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)