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The valuation of multidimensional american real options using the lsm simulation method
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113-147] for ...
Are real options a real option for real-world finance professionals? Case study: the application of real options to evaluate investment projects in the latin american oil and gas field services industry
(2012-12-13)
Brazil and other emerging markets will continue to present many investment opportunities in the coming years. Finance professionals who manage the company’s capital budgeting processes will face challenges. Specific ...
Introducción a los modelos de valuación de opciones
Este trabajo presenta las bases conceptuales de la valuación de opciones, considerando
exclusivamente la modalidad “europea”, en tiempo discreto y sobre la base del concepto de arbitraje.
Se analizan distintas alternativas ...
The valuation of multidimensional American real options using the LSM simulation method
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113-147] for ...
A General Approach for Pricing Rollover OptionsA General Approach for Pricing Rollover Options
(Sociedade Brasileira de Econometria, 2007)
The Role of Jumps and Options in the Risk Premia of Interest Rates
(Sociedade Brasileira de Econometria, 2019)
Real option valuation of power transmission investments by stochastic simulation
(Elsevier, 2015-01)
Network expansions in power markets usually lead to investment decisions subject to substantial irreversibility and uncertainty. Hence, investors need valuing the flexibility to change decisions as uncertainty unfolds ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2014)