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Real option valuation of power transmission investments by stochastic simulation

Pringles, Rolando; Olsina, Fernando; Garcés, Francisco - In: Energy economics 47 (2015), pp. 215-226

Persistent link: https://www.econbiz.de/10011527490

Impact of bias in the estimation of American-style options by Monte Carlo simulation

Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659

Persistent link: https://www.econbiz.de/10011529578

Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs

Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56

Persistent link: https://www.econbiz.de/10011546983

Equilibrium option pricing : a Monte Carlo approach

Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145

Persistent link: https://www.econbiz.de/10011553023

Handling discontinuities in financial engineering : good path simulation and smoothing

Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314

Persistent link: https://www.econbiz.de/10011485479

An exact method for the sensitivity analysis of systems simulated by rejection techniques

Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888

Persistent link: https://www.econbiz.de/10011521858

Complex derivatives valuation : applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis : design and research issues

Monteiro de Lima, Ursula Silveira; Samanez, Carlos P. - In: Financial innovation : FIN 2 (2016) 4, pp. 1-14

Background: This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing. The standard approach in the option pricing literature is to choose the basis arbitrarily. By comparing four different polynomial basis we show that...

Persistent link: https://www.econbiz.de/10011542478

Using Monte Carlo simulation with DCF and real options risk pricing techniques to analyse a mine financing proposal

Samis, Michael; Davis, Graham A. - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 264-281

Persistent link: https://www.econbiz.de/10010476913

The Heston stochastic-local volatility model : efficient Monte Carlo simulation

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30

Persistent link: https://www.econbiz.de/10010498851

Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects

Vianello, Juliano Melquiades; Costa, Letícia de Almeida; … - In: Energy economics 45 (2014), pp. 10-18

Persistent link: https://www.econbiz.de/10010504801