One of the key parameters in modeling capital budgeting decisions for investments with embedded options is the project volatility. Most often, however, there is no market or historical data available to provide an accurate estimate for this parameter. A common approach to estimating the project...

Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications. To provide a foundation for our...