Structural estimation of real options models

DOI10.1016/J.JEDC.2008.10.001MaRDI QIDQ2271671zbMATH OpenOpenAlexFDO

Authors Andrea Gamba, Matteo Tesser

Publication date 7 August 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2008.10.001

zbMATH Keywords

Monte Carlo methodsreal optionsMarkov decision processesdiscrete decision processes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Microeconomic theory (price theory and economic markets) (91B24) Estimation and detection in stochastic control theory (93E10)

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Cites work

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Cited in

(11)

• Constrained optimization approaches to estimation of structural models
• Relationship between least squares Monte Carlo and approximate linear programming
• Real Options and Risk Dynamics
• A DYNAMIC MODEL OF CLEANUP: ESTIMATING SUNK COSTS IN OIL AND GAS PRODUCTION
• Exit dynamics of start-up firms: structural estimation using indirect inference
• Structural estimation of switching costs for peaking power plants
• Technological heterogeneity and corporate investment
• Pairwise-difference estimation of a dynamic optimization model
• Dynamic monotonicity and comparative statics for real options
• Venture capital evaluation model using real options
• scientific article; zbMATH DE number 6907201 (Why is no real title available?)

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