Stochastic Models and Option Values

Applications to Resources, Environment and Investment Problems

By: D. Lund (Editor), Bernt Oksendal (Editor)

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Hardcover | 4 June 1991

At a Glance

Hardcover
312 Pages

Dimensions(cm)
23.5 x 15.88 x 1.91

Hardcover

$275.00

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This book is a result of recent developments in several fields. Mathematicians, statisticians, finance theorists, and economists found several interconnections in their research. The emphasis was on common methods, although the applications were also interrelated.
The main topic is dynamic stochastic models, in which information arrives and decisions are made sequentially. This gives rise to what finance theorists call option value, what some economists label quasi-option value. Some papers extend the mathematical theory, some deal with new methods of economic analysis, while some present important applications, to natural resources in particular.

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... well written and high quality contributions
European Journal of Operational Research

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You Can Find This Book In

Non-Fiction Mathematics Applied Mathematics Stochastics Accounting & Finance Finance Investment & Securities Economics Econometrics Business & Management Operational Research Probability & Statistics

Management & Management Techniques

Introduction
Stochastic Models and Option Values: An Introduction
Stochastic Control Theory - A Brief Summary
Financial Option Theory Applied to Real Investment
The Price of Convenience and the Valuation of Commodity Contingent Claims
Valuation of Long Term Oil-Linked Assets
The Cost of a Promise to Develop an Oil Field within a Fixed Future Date
Irreversibility and the Explanation of Investment Behavior
Financial and Non-financial Option Valuation
Stochastic Control and Dynamic Programming
Partial Investment
The High Contact Principle as a Sufficiency Condition for Optimal Stopping
Invariant Controls in Stochastic Allocation Problems
Shadow Prices in Stochastic Programming: Their Existence and Significance
Statistical Models of Natural Resource Exploitation
Estimating Structural Resource Models when Stock is Uncertain: Theory and its Application to Pacific Halibut
Optimal Decision with Reduction of Uncertainty over Time - An Application to Oil Production
Author index
Subject index
Table of Contents provided by Publisher. All Rights Reserved.

Stochastic Models and Option Values

Applications to Resources, Environment and Investment Problems

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

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