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Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … provide all the information required for estimating how the standard deviation and volatility of the stochastic process change …

Persistent link: https://www.econbiz.de/10013123815

Technical trading rules in Australian financial markets

Park, Jung Soo; Heaton, Christopher - In: International journal of economics and finance 6 (2014) 10, pp. 67-75

Persistent link: https://www.econbiz.de/10010421595

Review of system dynamics models for electricity market simulations

Teufel, Felix; Miller, Michael; Genoese, Massimo; … - 2013

This paper provides a review on modeling electricity markets with System Dynamics (SD) focusing on deregulated electricity market models. First the SD method is classified within the wide field of electricity market modeling. Then all distinctive properties of the SD method in this context are...

Persistent link: https://www.econbiz.de/10011833345

A synthetic data-plus-features driven approach for portfolio optimization

Pagnoncelli, Bernardo K.; Ramírez, Domingo; Rahimian, Hamed - In: Computational economics 62 (2023) 1, pp. 187-204

Persistent link: https://www.econbiz.de/10014327294

Does gender and family income impact stock trading of b-school students? : findings from a stock simulation exercise

Prakash, Nisha; Alagarsamy, Subburaj - In: Vision : the journal of business perspective 26 (2022) 4, pp. 454-460

Persistent link: https://www.econbiz.de/10014229668

Alternative Monte Carlo simulation models and the growth option with jumps

Alonso Bonis, Susana; Azofra Palenzuela, Valentín; … - In: Investment management and financial innovations 10 (2013) 3, pp. 19-29

Persistent link: https://www.econbiz.de/10010201517

The value of switching inputs in a biodiesel production plant

Brandão, Luiz Eduardo Teixeira; Penedo, Gilberto Master; … - In: The European journal of finance 19 (2013) 7/8, pp. 674-688

Persistent link: https://www.econbiz.de/10010244742

Using Monte Carlo simulation with DCF and real options risk pricing techniques to analyse a mine financing proposal

Samis, Michael; Davis, Graham A. - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 264-281

Persistent link: https://www.econbiz.de/10010476913

Sequential capital investment decision making under extreme cash flow situations : evidence using Monte Carlo simulation

Zhang, Wenqing; Padmanabhan, Prasad; Huang, Chia-Hsing - In: Journal of business economics and management 16 (2015) 5, pp. 877-900

Persistent link: https://www.econbiz.de/10011386652

A real options perspective on R&D portfolio diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

Persistent link: https://www.econbiz.de/10011373815