Pricing of Real Options based on exponential mean reverting processes: Finite differences method for pricing of Real Options bas,Used

Pricing of Real Options based on exponential mean reverting processes: Finite differences method for pricing of Real Options bas,Used

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This book deals with deriving pricing rules for Real Options which are based on exponential meanreverting 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 timedependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential meanreverting 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.

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