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A real options perspective on R&D portfolio diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

Persistent link: https://www.econbiz.de/10011373815

Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

Pricing Asian options : a comparison of numerical and simulation approaches twenty years later

Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841

Persistent link: https://www.econbiz.de/10011657691

A cost of carry-based framework for the Bitcoin futures price modeling

Lian, Yu-Min; Cheng, Chi-Hung; Lin, Shih-Hsun; Lin, … - In: Journal of mathematical finance 9 (2019) 1, pp. 42-53

Persistent link: https://www.econbiz.de/10012116666

Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction

Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13

Persistent link: https://www.econbiz.de/10011814902

Optimizing hedging effectiveness of indian agricultural commodity futures : a simulation approach

Mansabdar, Sanjay; Yaganti, Hussain C. - In: Asia Pacific financial markets 30 (2023) 1, pp. 13-36

Persistent link: https://www.econbiz.de/10014251541

Estimating security price derivatives using simulation

Broadie, Mark; Glasserman, Paul - 1993

Persistent link: https://www.econbiz.de/10000990346

Valuing default-risky interest-rate caps : a Monte Carlo approach

Abken, Peter A. - 1990

Persistent link: https://www.econbiz.de/10000796605

Asymptotically optimal importance sampling and stratification for pricing path-dependent options

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152

Persistent link: https://www.econbiz.de/10001372181

Simulating path-dependent options : a new approach

Babsiri, Mohamed el; Noel, Gerald - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 65-83

Persistent link: https://www.econbiz.de/10001355631

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