کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8127531 | 1522860 | 2010 | 4 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial factor models for correlated inputs in the simulation of project cash flows
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موضوعات مرتبط
مهندسی و علوم پایه
علوم زمین و سیارات
زمین شناسی اقتصادی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper we discuss a coherent and consistent framework for valuation of large-scale projects-the risk-neutral valuation scheme. This valuation framework deals with the uncertainties at the source instead of risk-adjusting the discounted cash flows. The uncertainties are categorized into two groups; market (public) uncertainties and technical (private) uncertainties. Some of the uncertainties are dependent on each other and ignoring such inter-dependencies will affect the valuation results. However, for problems with a large number of sources of uncertainties, the assessment of inter-dependencies becomes complex and burdensome. In this paper, we introduce financial factor models to simplify the correlation assessment problem. The factor models can be integrated with the logic of risk-neutral valuation and will form a consistent approach to valuation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Petroleum Science and Engineering - Volume 75, Issues 1â2, December 2010, Pages 54-57
Journal: Journal of Petroleum Science and Engineering - Volume 75, Issues 1â2, December 2010, Pages 54-57
نویسندگان
Babak Jafarizadeh,