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Luiz de Magalhães Ozorio,Carlos de Lamare Bastian-Pinto,Tara Nanda Baidya,Luiz Eduardo Teixeira Brandão
Pág. 215 - 241
Steel is a commodity with significant price volatility and the choice of stochastic process that better describes its price performance is a fundamental issue in real options valuation in steel industry projects. As verified with other commodities, it is...
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Carlos L. Bastian-Pinto,Luiz E. T. Brandão
Pág. pp. 97 - 124
Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use. In this article we mode...
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