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Stochastic Models and Option Values: Applications to Resources, Environment and Investment Problems Vol: 200


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Product Details
Format:
Hardback
ISBN:
9780444886309
Published:
04 Jun 1991
Publisher:
Emerald Group Publishing Limited
Dimensions:
312 pages - 156 x 234 x 20mm
Series:
Contributions to Economic Analysis

Categories:

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.
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.

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