Evaluating Natural Resource Investments Using the Least – Squares Monte Carlo Simulation Approach ∗

@inproceedings{Tsekrekos2003EvaluatingNR,
  title={Evaluating Natural Resource Investments Using the Least – Squares Monte Carlo Simulation Approach ∗},
  author={Andrianos E. Tsekrekos and Mark B. Shackleton},
  year={2003}
}
The idea that Monte Carlo simulation can not be applied to the pricing of options (real or financial) with early exercise features has been overridden in the light of new research results in the last decade. This paper attempts to contribute to this revived interest on Monte Carlo simulation valuation, by applying the proposed least–squares simulation method to the valuation of a hypothetical natural resource investment. Results seem to suggest that the Monte Carlo framework might be a natural… CONTINUE READING
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