The valuation of multidimensional American real options using the LSM simulation method
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Publication:2384589
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Cites work
- An analysis of a least squares regression method for American option pricing
- Assessing the least squares Monte-Carlo approach to American option valuation
- Evaluating leases with complex operating options
- Implementing a Real Option Model for Valuing an Undeveloped Oil Field
- Investment Timing Under Incomplete Information
- Investments in flexible production capacity
- Number of paths versus number of basis functions in American option pricing
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
- Pricing American-style securities using simulation
- Real options and preemption under incomplete information
- The pricing of options and corporate liabilities
- Timing of investments in oligopoly under uncertainty: a framework for numerical analysis
- Valuing oil properties: Integrating option pricing and decision analysis approaches
Cited in
(21)- An approximate dynamic programming approach to decision making in the presence of uncertainty for surfactant-polymer flooding
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Optimal decision policy for real options under general Markovian dynamics
- Modelling and computation of optimal multiple investment timing in multi-stage capacity expansion infrastructure projects
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches
- Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
- Reference policies for non-myopic sequential network design and timing problems
- Simulation methods in real option valuation
- Convergence of option rewards for multivariate price processes
- Research on compound real option simulation pricing problem based on American-style option simulation
- Production phase and ultimate pit limit design under commodity price uncertainty
- Valuation of commodity derivatives with an unobservable convenience yield
- Valuation of R\&D investment opportunities using the least-squares Monte Carlo method
- JDOI variance reduction method and the pricing of American-style options
- A deep real options policy for sequential service region design and timing
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- Real options pricing by the finite element method
- American option pricing under GARCH diffusion model: an empirical study
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