reduced-form model specifications. In the current paper we take a very different approach: a prospective micro-simulation …

Cash flow simulation embedded option is an option whose value is based on choosing the optimal decision in each time … step during a single cash flow calculation simulation run. Cash flow simulation embedded options are mostly operative … difficult to model with other methods than Monte Carlo simulation. However, cash flow simulation embedded options and the common …

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 … over time. The method is computationally efficient because it requires only one pass of simulation runs regardless of the …