Pricing American-style securities using simulation
M Broadie, P Glasserman - Journal of economic dynamics and control, 1997 - Elsevier
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 …
securities with opportunities for early exercise. Our algorithm provides both point estimates …
The valuation of American options on multiple assets
M Broadie, J Detemple - Mathematical Finance, 1997 - Wiley Online Library
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 …
more assets. Our contribution is twofold. First, we characterize the optimal exercise regions …
[图书][B] American-style derivatives: Valuation and computation
J Detemple - 2005 - taylorfrancis.com
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 …
extensive treatment of option pricing with emphasis on the valuation of American options on …
Options, uncertainty and sunk costs:: an empirical analysis of land use change
T Schatzki - Journal of environmental economics and management, 2003 - Elsevier
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 …
optimal conversion thresholds are significantly higher than those from expected net present …
Urban zoning for sustainable tourism: A continuum of accommodation to enhance city resilience
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 …
19 crisis, sustainable tourism planning is crucial, in particular in the hospitality sector, which …
Mixed uses and the redevelopment option
PD Childs, TJ Riddiough, AJ Triantis - Real Estate Economics, 1996 - Wiley Online Library
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 …
value. Operating flexibility of this type is found to significantly increase property value when …
Real options valuation: A Monte Carlo approach
A Gamba - Faculty of Management, University of Calgary WP, 2003 - papers.ssrn.com
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 …
dynamic capital budgeting problems with many embedded real options dependent on …
An empirical examination of the timing of land conversions in the presence of farmland preservation programs
CA Towe, CJ Nickerson… - American Journal of …, 2008 - Wiley Online Library
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 …
that the mere existence of an option to preserve farmland delays decisions to convert …
Maize price volatility and deforestation
C Lundberg, R Abman - American Journal of Agricultural …, 2022 - Wiley Online Library
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 …
establish an important link between agricultural commodity price volatility and forest loss …
An analysis of the effects of uncertainty and irreversibility on farmer participation in the conservation reserve program
M Isik, W Yang - Journal of Agricultural and Resource Economics, 2004 - JSTOR
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 …
Conservation Reserve Program (CRP). This study contributes to the literature by developing …