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Publication details

Pricing of Real Options Based on Exponential Mean Reverting Processes: Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset


Veverka Petr

publisher: LAP LAMBERT Academic Publishing, (Saarbrücken 2010)

research: CEZ:AV0Z10750506

keywords: Real options, ,, Option pricing, Financial mathematics

abstract (eng):

This book deals with deriving pricing rules for Real Options which are based on exponential mean-reverting 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 time-dependency and finally, we extend it to the case of stochastic interest rate modeled again by the exponential mean-reverting 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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Last modification: 21.12.2012
Institute of Information Theory and Automation