Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/96456
Authors: 
Mußhoff, Oliver
Hirschauer, Norbert
Palmer, Ken
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Wirtschafts- und Sozialwissenschaften an der Landwirtschaftlich-Gärtnerischen Fakultät, Humboldt-Universität zu Berlin 65/2002
Abstract: 
This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier. They subsequently value the option by initiating a Monte-Carlo simulation from the valuation date of the option. It turns out that one approach (Grant et al., 1997) is especially simple. We are able to enhance its efficiency by stripping it of some time consuming but unnecessary simulation steps. Our simplified approach could be called 'Bounded Recursive Stochastic Simulation'.
Document Type: 
Working Paper

Files in This Item:
File
Size
499.94 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.