Project valuation in the pharmaceutical industry: a comparison of least-squares Monte Carlo real option valuation and conventional approaches

2008 ◽  
Vol 38 (5) ◽  
pp. 520-537 ◽  
Author(s):  
Bart J. A. Willigers ◽  
Thomas L. Hansen
Keyword(s):  
Monte Carlo ◽  
Pharmaceutical Industry ◽  
Least Squares ◽  
Real Option ◽  
Option Valuation ◽  
Least Squares Monte Carlo ◽  
Project Valuation ◽  
Real Option Valuation

scholarly journals Comparison of the Datar-Mathews Method and the Fuzzy Pay-Off Method through Numerical Results

2016 ◽  
Vol 2016 ◽  
pp. 1-7 ◽  
Author(s):  
Mariia Kozlova ◽  
Mikael Collan ◽  
Pasi Luukka
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Simulation Model ◽  
Real Option ◽  
Fuzzy Numbers ◽  
Numerical Results ◽  
Option Valuation ◽  
The Real ◽  
Valuation Methods ◽  
Real Option Valuation

The paper compares numerically the results from two real option valuation methods, the Datar-Mathews method and the fuzzy pay-off method. Datar-Mathews method is based on using Monte Carlo simulation within a probabilistic valuation framework, while the fuzzy pay-off method relies on modeling the real option valuation by using fuzzy numbers in a possibilistic space. The results show that real option valuation results from the two methods seem to be consistent with each other. The fuzzy pay-off method is more robust and is also usable when not enough information is available for a construction of a simulation model.

On Improving the Least Squares Monte Carlo Option Valuation Method

2008 ◽  
Author(s):  
Nelson Manuel de Pinho Branddo da Costa Areal ◽  
Artur Rodrigues ◽  
Manuel Joss Rocha Armada
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Option Valuation ◽  
Least Squares Monte Carlo ◽  
Valuation Method

On improving the least squares Monte Carlo option valuation method

2008 ◽  
Vol 11 (1-2) ◽  
pp. 119-151 ◽  
Author(s):  
Nelson Areal ◽  
Artur Rodrigues ◽  
Manuel R. Armada
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Option Valuation ◽  
Least Squares Monte Carlo ◽  
Valuation Method

The Optimistic View to Uncertainty. Benefits of Real Option Valuation Methodology in Project Valuation; Example of its Application for a Rail Terminal Modification Project

2021 ◽  
Author(s):  
Nikita Anatoljevitsj Andreev
Keyword(s):  
Real Option ◽  
Optimization Problems ◽  
Investment Decision ◽  
Real Life ◽  
Future Market ◽  
Option Valuation ◽  
Mixed Feed ◽  
Project Assessment ◽  
Project Valuation ◽  
Real Option Valuation

Abstract The two main factors that drive the shift to liquid cracking in the Middle East are the restricted availability of ethane and the fact that naphtha or mixed feed cracking provides us with a much more diverse product mix. This opens the path to a higher share of performance chemicals. Building petrochemical complexes based on liquid or mixed feed cracking requires very complicated downstream configurations at a high level of integration with refinery streams. The value created by such a project rests on the ability of the operator to solve complex optimization problems in a volatile market environment. Inevitably, the correctness of the investment decision rests on the ability of the management to determine the value of the project under conditions of uncertainty regarding the future market prices. This paper demonstrates how the approach that was developed originally for the option valuation, can be used to address the problem of project assessment under the conditions of uncertainty. A real-life example of an investment decision about a modification of a rail terminal is used to illustrate the problem and to present a solution to it. Building on this example further, the paper argues that the method of Real Option valuation can support a creation of a competitive advantage in the conditions of uncertainty.

Real Option Valuation of FACTS Investments Based on the Least Square Monte Carlo Method

2011 ◽  
Vol 26 (3) ◽  
pp. 1389-1398 ◽  
Author(s):  
Gerardo Blanco ◽  
Fernando Olsina ◽  
Francisco Garces ◽  
Christian Rehtanz
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Real Option ◽  
Least Square ◽  
Option Valuation ◽  
Real Option Valuation
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