Valuation and hedging of long-term asset-linked contracts

Valuation and hedging of long-term asset-linked contracts

The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in t...

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Bibliographic Details
Main Author: Andersson, Henrik
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Kostnadsintäktsanalys (C) 2003
Subjects:
Capital budgeting
Feynman-Kac
Hedging
Mean reversion
Real options
Stochastic volatility
Unit root tests
Paretian distributions
Option-pricing
EGARCH
Commodity-linked contracts
Arbitrage free prices
Derivathandel
Optioner > värdering
Business and economics
Ekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-568
http://nbn-resolving.de/urn:isbn:91-7258-613-3

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-568
http://nbn-resolving.de/urn:isbn:91-7258-613-3

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