scholarly journals The Classic Methods of Real Option Valuation Vs Double Monte Carlo Simulation – Assumptions Analysis

2016 ◽  
Vol 82 ◽  
pp. 437-445
Author(s):  
Marcin Pawlak
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Real Option ◽  
Option 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.

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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