Valuation of R&D Sequential Exchange Options using Monte Carlo approach
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- Flavia Cortelezzi & Giovanni Villani, 2009. "Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 209-236, April.
References listed on IDEAS
- Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-1256, December.
- 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.
- Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
- Barraquand, Jérôme & 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giovanni Villani, 2009. "A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis," CESifo Working Paper Series 2728, CESifo Group Munich.
- Giovanni Villani, 2014. "Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 43(3), pages 331-355, March.
- Cassimon, Danny & Engelen, Peter-Jan & Yordanov, Vilimir, 2011. "Compound Real Option Valuation with Phase-Specific Volatility: a Multi-phase Mobile Payments Case Study," MPRA Paper 46053, University Library of Munich, Germany.
- Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
- Pennings, Enrico & Sereno, Luigi, 2011. "Evaluating pharmaceutical R&D under technical and economic uncertainty," European Journal of Operational Research, Elsevier, vol. 212(2), pages 374-385, July.
- repec:taf:eurjfi:v:23:y:2017:i:12:p:1150-1175 is not listed on IDEAS
More about this item
KeywordsPseudo Compound American Exchange option; R&D; Monte Carlo Methods.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- O32 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Management of Technological Innovation and R&D
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-13 (All new papers)
- NEP-INO-2008-10-13 (Innovation)
- NEP-MIC-2008-10-13 (Microeconomics)
- NEP-ORE-2008-10-13 (Operations Research)
- NEP-PPM-2008-10-13 (Project, Program & Portfolio Management)
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