Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
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Publication:2289885
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Cites work
- A multi-stage stochastic integer programming approach for capacity expansion under uncertainty
- A review on regression-based Monte Carlo methods for pricing American options
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
- An analysis of a least squares regression method for American option pricing
- Approximate dynamic programming. Solving the curses of dimensionality
- Assessing the least squares Monte-Carlo approach to American option valuation
- Capital Budgeting Under Uncertainty—An Integrated Approach Using Contingent Claims Analysis and Integer Programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
- Functional Approximations and Dynamic Programming
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- scientific article; zbMATH DE number 1312984 (Why is no real title available?)
- scientific article; zbMATH DE number 6108474 (Why is no real title available?)
- Investment under alternative return assumptions
- Multistage Monte Carlo method for solving influence diagrams using local computation
- On improving the least squares Monte Carlo option valuation method
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Portfolios of real options
- Project options valuation with net present value and decision tree analysis
- Strategic investment under uncertainty: a synthesis
- The valuation of multidimensional American real options using the LSM simulation method
- Valuation of project portfolios: an endogenously discounted method
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuing interdependent multi-stage IT investments: a real options approach
- Valuing managerial flexibility: an application of real-option theory to mining investments
Cited in
(10)- Valuing interdependent multi-stage IT investments: a real options approach
- Flexibility and project value: interactions and multiple real options
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches
- Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
- Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming
- Portfolio optimization for inventory financing: copula-based approaches
- A deep real options policy for sequential service region design and timing
- Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands
- Portfolios of real options
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