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Valuation of timberland under price ...

Campbell, Wallace Alexander.

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Valuation of timberland under price uncertainty.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Valuation of timberland under price uncertainty./
Author:	Campbell, Wallace Alexander.
Description:	89 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-09(E), Section: A.
Contained By:	Dissertation Abstracts International74-09A(E).
Subject:	Economics, Agricultural. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3564708
ISBN:	9781303138935

Valuation of timberland under price uncertainty.
Campbell, Wallace Alexander.

Valuation of timberland under price uncertainty. - 89 p.

Source: Dissertation Abstracts International, Volume: 74-09(E), Section: A.

Thesis (Ph.D.)--Clemson University, 2013.

In the first essay, a critical examination of three commonly used stochastic price processes is presented. Each process is described and rejected as a possible model of lumber futures prices. A mean reverting generalized autoregressive conditional heteroskedasticity (GARCH) model, developed by Bollerslev (1986), is proposed as a stochastic process for lumber futures prices. The essay provides the steps that should be taken to ensure that a proper price process is used in each application.

ISBN: 9781303138935Subjects--Topical Terms:

626648
Economics, Agricultural.

Valuation of timberland under price uncertainty.
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020 $a 9781303138935
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100 1 $a Campbell, Wallace Alexander. $3 2097294
245 1 0 $a Valuation of timberland under price uncertainty.
300 $a 89 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-09(E), Section: A.
500 $a Adviser: Scott R. Templeton.
502 $a Thesis (Ph.D.)--Clemson University, 2013.
520 $a In the first essay, a critical examination of three commonly used stochastic price processes is presented. Each process is described and rejected as a possible model of lumber futures prices. A mean reverting generalized autoregressive conditional heteroskedasticity (GARCH) model, developed by Bollerslev (1986), is proposed as a stochastic process for lumber futures prices. The essay provides the steps that should be taken to ensure that a proper price process is used in each application.
520 $a In the second essay, a flexible harvesting strategy known as the reservation price strategy is presented. When the current price is below the reservation price, the forest owner delays the harvest. An optimal stopping model is used to derive an expression for the optimal sequence of reservation prices under price uncertainty. A solution method using a Monte Carlo backward recursion algorithm is presented. The Monte Carlo simulation procedure may be applied when analytical solutions are difficult or intractable.
520 $a In the third essay, a simulation model is used to estimate the per acre value of land devoted to timber production under different harvesting strategies, stumpage price processes, and site qualities. By following the reservation price strategy, forest owners can increase the expected profits from timber harvesting and reduce the variability in profits from timber harvesting relative to a fixed rotation strategy. For an estimated mean reverting GARCH process, the reservation price strategy increases the value of timberland by 33.0 percent for a site index of 90 and by 22.1 percent for a site index of 60 relative to a fixed rotation strategy.
590 $a School code: 0050.
650 4 $a Economics, Agricultural. $3 626648
650 4 $a Economics, Environmental. $3 1669564
650 4 $a Agriculture, Forestry and Wildlife. $3 783690
690 $a 0503
690 $a 0438
690 $a 0478
710 2 $a Clemson University. $b Applied Economics and Statistics. $3 1034035
773 0 $t Dissertation Abstracts International $g 74-09A(E).
790 $a 0050
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3564708