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

SSRN Electronic Journal ◽

10.2139/ssrn.2486104 ◽

2014 ◽

Author(s):

Selvaprabu Nadarajah ◽

Francois Margot ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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

European Journal of Operational Research ◽

10.1016/j.ejor.2016.06.020 ◽

2017 ◽

Vol 256 (1) ◽

pp. 196-204 ◽

Cited By ~ 21

Author(s):

Selvaprabu Nadarajah ◽

François Margot ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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

SSRN Electronic Journal ◽

10.2139/ssrn.1153525 ◽

2008 ◽

Cited By ~ 3

Author(s):

Giuseppe Alesii

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Options Pricing ◽

Pricing Model ◽

Least Squares Monte Carlo

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A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-05014-0_6 ◽

2014 ◽

pp. 27-30

Author(s):

Marta Biancardi ◽

Giovanni Villani

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Robustness Analysis ◽

Least Squares Monte Carlo ◽

Real Options Valuation ◽

Options Valuation

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The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method

SSRN Electronic Journal ◽

10.2139/ssrn.887953 ◽

2006 ◽

Cited By ~ 6

Author(s):

Artur Rodrigues ◽

Manuel J. Rocha Armada

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Simulation Method ◽

Monte Carlo Simulation Method ◽

Least Squares Monte Carlo

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Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

Quantitative Finance ◽

10.1080/14697688.2020.1775283 ◽

2020 ◽

pp. 1-22

Author(s):

W. Dong ◽

B. Kang

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Monte Carlo Methods ◽

Graphics Processing Units ◽

Least Squares Monte Carlo ◽

Graphics Processing

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

IEEE Systems Journal ◽

10.1109/jsyst.2011.2158687 ◽

2011 ◽

Vol 5 (3) ◽

pp. 385-395 ◽

Cited By ~ 10

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

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Least-squares Monte-Carlo methods for optimal stopping investment under CEV models

Quantitative Finance ◽

10.1080/14697688.2020.1736325 ◽

2020 ◽

Vol 20 (7) ◽

pp. 1199-1211

Author(s):

Jingtang Ma ◽

Zhengyang Lu ◽

Wenyuan Li ◽

Jie Xing

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Optimal Stopping ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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Harvest Cost and Citrus Mechanization: Real Options Approach with Least Squares Monte Carlo Simulation

SSRN Electronic Journal ◽

10.2139/ssrn.1362238 ◽

2009 ◽

Author(s):

Nobuyuki Iwai ◽

Robert D. Emerson ◽

Fritz M. Roka

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Least Squares Monte Carlo ◽

Real Options Approach

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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

European Journal of Operational Research ◽

10.1016/j.ejor.2021.08.016 ◽

2021 ◽

Author(s):

Wei Wei ◽

Dan Zhu

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Optimal Stopping ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo ◽

Optimal Stopping Problems

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

SSRN Electronic Journal ◽

10.2139/ssrn.2666187 ◽

2015 ◽

Author(s):

Selvaprabu Nadarajah ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Real Option ◽

Least Squares Monte Carlo

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