Various Interest Rates Models Used within Real Options Valuation Tools

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Various Interest Rates Models Used within Real Options Valuation Tools

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Various Interest Rates Models Used within Real Options Valuation Tools

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA15-20405S" target="_blank" >GA15-20405S: Modelování procesů na finančních trzích a predikce bankrotu firem aparátem reálných opcí</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

MME 2016 Conference Proceedings

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

558-563

Název nakladatele

Technical University of Libere

Místo vydání

Technical University of Liberec

Místo konání akce

Technical University of Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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