Optimization has been recognized as a powerful tool in teaching and research for a long time. In spite of its well known problem solving capacity, some methodological obstacles have persisted over the years. The main problem is that stochastic variables and their correlations cannot be...

This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier....

Bereits seit mehreren Jahrzehnten findet die Optimierung in der akademischen Lehre und Forschung starke Beachtung. Trotz der Breite potenzieller Anwendungsfelder gibt es jedoch einige methodische Schwierigkeiten. Das Hauptproblem besteht darin, die Unsicherheit, d.h. stochastische Prozesse von...