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Assessing LSMC for the KT General Real Options Pricing Model

 

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  • Product Description
 

We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under six different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We explore empirically a generalization of proposition 1 page 124 in (Longstaff and Schwartz, 2001) with respect to the number of discretization points, of basis functions and the number of simulated paths. We study the speed precision tradeoff of LSMC individual estimates. Finally, we show their statistical properties.

Product Specifications
SKU :COC16208
AuthorGiuseppe Alesii
LanguageEnglish
BindingPaperback
Number of Pages96
Publishing Year2010-04-08T00:00:00.000
ISBN978-3838390451
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-25 00:00:00