Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model

2008 ◽  
Author(s):  
Giuseppe Alesii
Keyword(s):  
Monte Carlo ◽  
Real Options ◽  
Least Squares ◽  
Options Pricing ◽  
Pricing Model ◽  
Least Squares Monte Carlo

Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options

2014 ◽  
Author(s):  
Selvaprabu Nadarajah ◽  
Francois Margot ◽  
Nicola Secomandi
Keyword(s):  
Monte Carlo ◽  
Real Options ◽  
Least Squares ◽  
Monte Carlo Methods ◽  
Least Squares Monte Carlo

Fuzzy Real Options for Risky Project Evaluation Using Least Squares Monte-Carlo Simulation

2011 ◽  
Vol 5 (3) ◽  
pp. 385-395 ◽  
Author(s):  
Qian Wang ◽  
D. Marc Kilgour ◽  
Keith W. Hipel
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Real Options ◽  
Least Squares ◽  
Project Evaluation ◽  
Least Squares Monte Carlo

scholarly journals Comparison of least squares Monte Carlo methods with applications to energy real options

2017 ◽  
Vol 256 (1) ◽  
pp. 196-204 ◽  
Author(s):  
Selvaprabu Nadarajah ◽  
François Margot ◽  
Nicola Secomandi
Keyword(s):  
Monte Carlo ◽  
Real Options ◽  
Least Squares ◽  
Monte Carlo Methods ◽  
Least Squares Monte Carlo

Regress-Later Least Squares Monte Carlo: Duality Perspective and Energy Real Option Application

2015 ◽  
Author(s):  
Selvaprabu Nadarajah ◽  
Nicola Secomandi
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Real Option ◽  
Least Squares Monte Carlo

Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach

2016 ◽  
Author(s):  
Rongju Zhang ◽  
Nicolas Langrenn ◽  
Yu Tian ◽  
Zili Zhu ◽  
Fima Klebaner ◽  
...  
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Least Squares ◽  
Portfolio Optimisation ◽  
Simulation Approach ◽  
Least Squares Monte Carlo ◽  
Dynamic Portfolio

AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

2016 ◽  
Author(s):  
Luca Capriotti ◽  
Yupeng Jiang
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Least Squares Monte Carlo
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