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In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113–147] for valuing a financial option and how this method can be used in a complex setting. We extend a well-known natural resource real option(More)
In this paper we show how a multidimensional American real option may be solved using a computer-based simulation procedure. We implement an approach originally proposed for a financial option and show how it can be used in a much more complex setting. We extend a well-known natural resource real option model, originally solved using finite difference(More)
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