This paper provides a detailed analysis of the Least Squares Monte Carlo Simulation Method (Longstaff and Schwartz, 2001) and of the extension of Gamba (2003) to value portfolios of real options. The accuracy of the method is assessed when valuing stylised real options as maximum, compound or...

The valuation of options using a binomial non-recombining tree with discrete dividends can be intricate. This paper proposes three different enhancements that can be used alone or combined to value American options with discrete dividends using a non-recombining binomial tree. These methods are...

This paper studies the effect of discrete dividends on the FTSE-100 index options valuation, following closely Harvey and Whaley's (1992) study on the S&P-100 index. To the best of our knowledge no such study was ever performed on FTSE-100 options, where the dividends have a discreteness pattern...