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The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method · Study

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PreprintThe Valuation of Real Options with the Least Squares Monte Carlo Simulation Method

Artur Rodrigues2006

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Preprintgreen2006

The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method

Artur Rodrigues · Manuel José da Rocha Armada

29 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Capital Investment and Risk Analysis Financial Reporting and Valuation Research

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1977Options: A Monte Carlo approach 1997Monte Carlo methods for security pricing 1997Pricing American-style securities using simulation 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods 1996Valuation of the early-exercise price for options using simulations and nonparametric regression

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2003Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rulearticle · 17 shared references 2012Pricing high-dimensional Bermudan options using the stochastic grid methodarticle · 15 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 14 shared references 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 14 shared references 2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivativesarticle · 14 shared references 2006Extending quadrature methods to value multi-asset and complex path dependent optionsarticle · 14 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.887953

openalex_workW1604094010

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