Valuation of R\&D sequential exchange options using Monte Carlo approach

DOI10.1007/S10614-008-9157-ZzbMath1180.91304OpenAlexW2010654732MaRDI QIDQ1038763

Giovanni Villani, Flavia Cortelezzi

Publication date: 20 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-008-9157-z

zbMATH Keywords

Monte Carlo methodsR\&Dpseudo compound American exchange option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method ⋮ Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate ⋮ Real R\&D options under fuzzy uncertainty in market share and revealed information ⋮ Evaluating pharmaceutical R\&D under technical and economic uncertainty ⋮ Valuation of \(N\)-stage investments under jump-diffusion processes ⋮ Modelling and Computation for the Valuation of Two-Period $R\&D$ Projects by Option Games

Cites Work

• Pricing American-style securities using simulation
• Investment and the Valuation of Firms When There is an Option to Shut Down

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