Stochastic Models and Option Values
Applications to Resources, Environment and Investment Problems
Will be published approx. on 4. June 1991
Book
Hardback
312 pages
978-0-444-88630-9 (ISBN)
Description
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.
Reviews / Votes
... well written and high quality contributions European Journal of Operational ResearchMore details
Series
Language
English
Place of publication
Kidlington
United Kingdom
Publishing group
Emerald Publishing Limited
Target group
Professional and scholarly
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 21 mm
Weight
634 gr
ISBN-13
978-0-444-88630-9 (9780444886309)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Content
Introduction. Stochastic Models and Option Values: An Introduction. Stochastic Control Theory - A Brief Summary (B. Oksendal). Financial Option Theory Applied to Real Investment. The Price of Convenience and the Valuation of Commodity Contingent Claims (M.J. Brennan). Valuation of Long Term Oil-Linked Assets (R. Gibson and E. Schwartz). The Cost of a Promise to Develop an Oil Field within a Fixed Future Date (P. Bjerksund). Irreversibility and the Explanation of Investment Behavior (R.S. Pindyck). Financial and Non-financial Option Valuation. Stochastic Control and Dynamic Programming. Partial Investment (T. O. Kobila). The High Contact Principle as a Sufficiency Condition for Optimal Stopping (K.A. Brekke, B. Oksendal). Invariant Controls in Stochastic Allocation Problems (T.E. Olsen, G. Stensland). Shadow Prices in Stochastic Programming: Their Existence and Significance (S.D. Flam). Statistical Models of Natural Resource Exploitation. Estimating Structural Resource Models when Stock is Uncertain: Theory and its Application to Pacific Halibut (P. Berck, G. Johns). Optimal Decision with Reduction of Uncertainty over Time - An Application to Oil Production. Author index. Subject index.