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Computational Economics
Volumn 33, Issue 3, 2009, Pages 209-236
Valuation of R&D sequential exchange options using Monte Carlo approach
Author keywords

Monte Carlo methods; Pseudo compound American exchange option; R D
Indexed keywords

EID: 61349169574     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1007/s10614-008-9157-z     Document Type: Article
Times cited : (23)
References (11)
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    • Armada, M.R.1    Kryzanowsky, L.2    Pereira, P.J.3
  • 4
    • 84977731487 scopus 로고
    • The valuation of sequential exchange opportunities
    • Carr P. (1988) The valuation of sequential exchange opportunities. The Journal of Finance 43(5): 1235-1256
    • (1988) The Journal of Finance , vol.43 , Issue.5 , pp. 1235-1256
    • Carr, P.1
  • 5
    • 0002988042 scopus 로고
    • The valuation of American exchange options with application to real options
    • In: Trigeorgis L. (eds) Praeger, Westport Connecticut, London
    • Carr P. (1995) The valuation of American exchange options with application to real options. In: Trigeorgis L. (eds) Real options in capital investment: Models, stratigies and applications. Praeger, Westport Connecticut, London
    • (1995) Real Options in Capital Investment: Models, Stratigies and Applications
    • Carr, P.1
  • 6
    • 0042145602 scopus 로고
    • Proactive management of uncertainty
    • Copeland T., Weiner J. (1990) Proactive management of uncertainty. The McKinsey Quarterly 10(4): 133-152
    • (1990) The McKinsey Quarterly , vol.10 , Issue.4 , pp. 133-152
    • Copeland, T.1    Weiner, J.2
  • 8
    • 84977359121 scopus 로고
    • The value of an exchange option to exchange one asset for another
    • Margrabe W. (1978) The value of an exchange option to exchange one asset for another. The Journal of Finance 33(1): 177-186
    • (1978) The Journal of Finance , vol.33 , Issue.1 , pp. 177-186
    • Margrabe, W.1
  • 9
    • 0000704002 scopus 로고
    • Investiment and the valuation of firms when there is an option to shut down
    • McDonald R.L., Siegel D.R. (1985) Investiment and the valuation of firms when there is an option to shut down. International Economic Review 28(2): 331-349
    • (1985) International Economic Review , vol.28 , Issue.2 , pp. 331-349
    • McDonald, R.L.1    Siegel, D.R.2
  • 10
    • 0002471803 scopus 로고    scopus 로고
    • A Monte Carlo valuation of American call options on the maximum of several stocks
    • Raymar S., Zwecher M. (1997) A Monte Carlo valuation of American call options on the maximum of several stocks. Journal of Derivatives 5: 7-23
    • (1997) Journal of Derivatives , vol.5 , pp. 7-23
    • Raymar, S.1    Zwecher, M.2
  • 11
    • 0001433087 scopus 로고
    • Valuing American options in a path simulation model
    • Tilley J. (1993) Valuing American options in a path simulation model. Transactions of the Society of Actuaries 45: 83-104
    • (1993) Transactions of the Society of Actuaries , vol.45 , pp. 83-104
    • Tilley, J.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.