Skip to main content
SpringerLink
Log in

Real Options Valuation

The Importance of Interest Rate Modelling in Theory and Practice

  • Book
  • © 2005

Overview

Authors:
  1. Marcus Schulmerich

    1. Allianz Global Investors Group, Munich, Germany

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 559)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 89.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (6 chapters)

  1. Front Matter

    Pages i-xvi
    Download chapter PDF

  2. Introduction

    Pages 1-17

  3. Real Options in Theory and Practice

    Pages 19-67

  4. Stochastic Models for the Term Structure of Interest Rates

    Pages 69-129

  5. Real Options Valuation Tools in Corporate Finance

    Pages 131-190

  6. Analysis of Various Real Options in Simulations and Backtesting

    Pages 191-330

  7. Summary and Outlook

    Pages 331-342

  8. Back Matter

    Pages 343-357
    Download chapter PDF
Back to top

Keywords

About this book

Managerial decision-making during the lifetime of a project can have im­ portant implications on project handling and its contribution to shareholder value. Traditional capital budgeting methods (in particular methods based on net present value) fail to capture the role of managerial degrees of free­ dom and therefore tend to lead to a systematic undervaluation of the project. In contrast, the real options approach to investment analysis characterizes decision-making flexibility in terms of (real) option rights which can be eval­ uated analogously to financial options using contingent-claims pricing tech­ niques widely used in capital markets. The research carried out by Marcus Schulmerich analyzes real options for n- constant and stochastic interest rates versus constant interest rates. Analyzing stochastic interest rates in the context of real options valuation is of particular relevance given their long time to maturity which makes them more vulnera­ ble to interest rate risk than short-term financial options. To date, there has not been a comprehensive review of this issue in the academic literature. The fact that interest rates have fiuctuated widely over the recent years further highlights the need for studying this issue.

Authors and Affiliations

  • Allianz Global Investors Group, Munich, Germany

    Marcus Schulmerich

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation