Simulation and optimization for real options valuation

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2003, Pages 343-350

  Cobb, Barry R ^a   Charnes, John M ^a  

^a UNIVERSITY OF KANSAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOVEMENT; COMPUTER SIMULATION; DECISION MAKING; FINANCE; MATHEMATICAL MODELS; OPTIMIZATION; RANDOM PROCESSES;

CASH FLOW METHODS; REAL OPTIONS VALUATION (ROV);

PROJECT MANAGEMENT;

EID: 1642437925     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (2)

1. Black, F., and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81: 637-659.
2. Glover, F., J. P. Kelly, and M. Laguna. 1996. New advances and applications of combining simulation and optimization. In Proceedings of the 1996 Winter Simulation Conference, ed. J. M. Charnes, D. J. Morrice, D. T. Brunner, and J. J. Swain, 144-152. Piscataway, New Jersey: Institute of Electrical and Electronic Engineers.