We develop a simulation algorithm for estimating the prices of American-style securities, ie,
securities with opportunities for early exercise. Our algorithm provides both point estimates …

In this paper we provide valuation formulas for several types of American options on two or
more assets. Our contribution is twofold. First, we characterize the optimal exercise regions …

Focusing on recent developments in the field, American-Style Derivatives provides an
extensive treatment of option pricing with emphasis on the valuation of American options on …

In a real-option model of land conversion incorporating return uncertainty and sunk costs,
optimal conversion thresholds are significantly higher than those from expected net present …

While governments around the world are embarking on the path to recovery from the COVID-
19 crisis, sustainable tourism planning is crucial, in particular in the hospitality sector, which …

This paper considers how the potential for mixing uses and redevelopment impact property
value. Operating flexibility of this type is found to significantly increase property value when …

This paper provides a numerical approach based on a Monte Carlo simulation for valuing
dynamic capital budgeting problems with many embedded real options dependent on …

Using a panel of parcel‐level data we estimate a hazard model and find strong evidence
that the mere existence of an option to preserve farmland delays decisions to convert …

We develop a model of deforestation using a real option on agricultural land conversion and
establish an important link between agricultural commodity price volatility and forest loss …

A real options model is developed to examine the determinants of farmer participation in the
Conservation Reserve Program (CRP). This study contributes to the literature by developing …