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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

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

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

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

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

Fast and flexible libor model pricing : two-stage Monte Carlo and on-the-fly payoff processing

Auer, M.; Biffl, S. - In: Computational finance and its applications III : …, (pp. 23-31). 2008

Persistent link: https://www.econbiz.de/10003713242

The planting real option in cash rent valuation

Du, Xiaodong; Hennessy, David A. - 2008

Persistent link: https://www.econbiz.de/10003716599

A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

Kohler, Michael - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 2, pp. 153-178

Persistent link: https://www.econbiz.de/10003716614

Numerical pricing of collateral debt obligations : a Monte Carlo approach

Moreno, Manuel; Serrano, Pedro - In: Credit risk : models, derivatives, and management, (pp. 527-549). 2008

Persistent link: https://www.econbiz.de/10003718596

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