Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method
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Publication:4561922
DOI10.1007/978-3-319-02499-8_26zbMath1418.91604OpenAlexW1591602541MaRDI QIDQ4561922
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
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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