Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method

DOI10.1007/978-3-319-02499-8_26zbMath1418.91604OpenAlexW1591602541MaRDI QIDQ4561922

Giovanni Villani

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_26

zbMATH Keywords

managerial flexibilitycash flowinvestment opportunityreal optionreal option theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Valuation of \(N\)-stage investments under jump-diffusion processes
• On improving the least squares Monte Carlo option valuation method
• Valuation of R\&D sequential exchange options using Monte Carlo approach
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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