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....

Mathematical programming has for a long time been recognized as a powerful tool. Despite its capacity for solving constrained optimization problems under uncertainty, some methodological obstacles have persisted over the years. The main problem is that the eventually complex results of an...