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A probabilistic Monte Carlo model for pricing discrete barrier and compound real options

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 113-126

Persistent link: https://www.econbiz.de/10010462984

Model-free analysis of real option exercise probability and timing

Kang, Sang Baum; Létourneau, Pascal - In: Quantitative finance 23 (2023) 10, pp. 1531-1544

Persistent link: https://www.econbiz.de/10014419176

Valuation of R&D compound option using Markov chain approach

D'Amico, Guglielmo; Villani, Giovanni - In: Annals of finance 17 (2021) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10012622325

A compound real option approach for determining the optimal investment path for RPV-Storage systems

Hassi, Benjamin; Reyes, Tomas; Sauma, Enzo E. - In: The energy journal 43 (2022) 3, pp. 83-103

Persistent link: https://www.econbiz.de/10013411257

Investment in electric energy storage under uncertainty : a real options approach

Bakke, Ida; Fleten, Stein-Erik; Hagfors, Lars Ivar; … - In: Computational Management Science : CMS 13 (2016) 3, pp. 483-500

Persistent link: https://www.econbiz.de/10011669309

Der Wert zusätzlicher Informationen bei Investitionsentscheidungen mit einem hohen Grad an Irreversibilität

Wesseler, Justus; Weichert, Michael - In: Agrarwirtschaft in der Informationsgesellschaft : 39. …, (pp. 293-301). 1999

Persistent link: https://www.econbiz.de/10001435586

Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk

Song, Dandan; Wang, Huamao; Yang, Zhaojun - In: Journal of mathematical economics 51 (2014), pp. 1-11

Persistent link: https://www.econbiz.de/10010478603

American option pricing with discrete and continuous time models : an empirical comparison

Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902

Persistent link: https://www.econbiz.de/10009492526

Operating a swing option on today's gas markets : how least squares Monte Carlo works and why it is beneficial

Hanfeld, Marc; Schlüter, Stephan - 2016

We investigate, if it pays off for a company to invest into complex swing option algorithms. We first introduce least squares Monte Carlo as a complex valuation algorithm and explain in detail how it works. Using a simulation study and two backtest scenarios we compare the output of this method...

Persistent link: https://www.econbiz.de/10011534754

Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options

Xiang, Jiangming; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 10, pp. 1701-1720

Persistent link: https://www.econbiz.de/10012313503