Chen and Shen (2003) argue that it is possible to improve the Least Squares Monte Carlo Method (LSMC) of Longstaff and Schwartz (2001) to value American options by removing the least squares regression module. This would make not only faster but also more accurate. We demonstrate, using a large...

The valuation of options using a binomial non-recombining tree with discrete dividends can be intricate. This paper proposes three different enhancements that can be used alone or combined to value American options with discrete dividends using a non-recombining binomial tree. These methods are...

R&D is often a highly uncertain venture where experiments achieve successful outcomes on an extraordinarily rare basis. Just one successful product could change the future of a company; the discovery stage can often be an invaluable or disastrous experience. We develop a real R&D option model...