Research on compound real option simulation pricing problem based on American-style option simulation

MaRDI QIDQ2859772zbMATH OpenFDO

Authors Peimin Ren, Shuran Zhao

Publication date 19 November 2013

Published in Journal of Systems Science and Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

compound real optionexercise period overlapleast squares methodMonte Carlo simulation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• The valuation of multidimensional American real options using the LSM simulation method
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• The generalized sequential compound options pricing and sensitivity analysis

Cited in

(2)

• Path integration for real options
• The valuation of multidimensional American real options using the LSM simulation method

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