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Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach

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Author Info
Flavia Cortelezzi ()
Giovanni Villani ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-008-9157-z
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 33 (2009)
Issue (Month): 3 (April)
Pages: 209-236
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Handle: RePEc:kap:compec:v:33:y:2009:i:3:p:209-236

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: Pseudo compound American exchange option; R&; D; Monte Carlo methods; G13; O32; C15;

References listed on IDEAS
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  1. Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-56, December. [Downloadable!] (restricted)
  2. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June. [Downloadable!] (restricted)
  3. Armada, Manuel Rocha & Kryzanowski, Lawrence & Pereira, Paulo Jorge, 2007. "A modified finite-lived American exchange option methodology applied to real options valuation," Global Finance Journal, Elsevier, vol. 17(3), pages 419-438, March. [Downloadable!] (restricted)
  4. Barraquand, J?r?me & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September. [Downloadable!]
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This page was last updated on 2009-12-10.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.