A parameter based approach to single factor stochastic process selection for real options applications
| Autor: | Luiz Eduardo Teixeira Brandão, Luiz de Magalhães Ozorio, Carlos de Lamare Bastian-Pinto, Arthur Felipe Tavares do Poço |
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| Rok vydání: | 2021 |
| Předmět: |
Mathematical optimization
Geometric Brownian motion 050208 finance Stochastic process Computer science Process (engineering) 05 social sciences Economics Econometrics and Finance (miscellaneous) Single factor 0502 economics and business Mean reversion Real options valuation Diffusion (business) Selection (genetic algorithm) |
| Zdroj: | The European Journal of Finance. :1-20 |
| ISSN: | 1466-4364 1351-847X |
| DOI: | 10.1080/1351847x.2021.1895859 |
| Popis: | The single factor stochastic diffusion processes most commonly used for Real Options Valuation are the Geometric Brownian Motion and Mean Reversion Models. Nonetheless, the choice of process to mod... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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