Real option value and random jumps: application of a simulation model

References

• Andrés-Alonso , P , Azofra-Palenzuela , V and Fuente-Herrero , G . 2005 . Real options as a component of the market value of stocks: evidence from the Spanish Stock Market . Applied Economics , 37 : 1673 – 91 .
   Web of Science ®Google Scholar
• Azofra , V , Fuente , G and Fortuna , J-M . 2004 . Las opciones reales en la industria de componentes del automóvil . Cuadernos de Economía y Dirección de Empresas , 18 : 97 – 120 .
   Google Scholar
• Barranquand , J and Martineau , D . 1995 . Numerical valuation of high dimensional multivariate American securities . Journal of Financial and Quantitative Analysis , 30 : 383 – 405 .
   Web of Science ®Google Scholar
• Berger , P-G , Ofek , E and Swary , I . 1996 . Investor valuation of the abandonment option . Journal of Financial Economics , 42 : 257 – 87 .
   Web of Science ®Google Scholar
• Bossaerts , P . 1989 . Simulation Estimators of Optimal Early Exercise Working paper, University Carnegie-Mellon, Pittsburgh, PA
   Google Scholar
• Boyle , P-P . 1977 . Options: A Monte Carlo approach . Journal of Financial Economics , 4 : 323 – 38 .
   Web of Science ®Google Scholar
• Brennan , M and Schwartz , E-S . 1978 . Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis . Journal of Financial and Quantitative Analysis , 13 : 461 – 74 .
   Web of Science ®Google Scholar
• Broadie , M and Glasserman , P . 1997 . Pricing American-style securities using simulation . Journal of Economic Dynamics and Control , 21 : 1323 – 52 .
   Web of Science ®Google Scholar
• Broadie , M and Glasserman , P . 2004 . A stochastic mesh method for pricing high-dimensional American options . Journal of Computational Finance , 7 : 4
   Google Scholar
• Broadie , M , Glasserman , P and Jain , G . 1997 . Enhanced Monte Carlo estimates for American options prices . Journal of Derivatives , 5 : 25 – 44 .
   Google Scholar
• Chung , S-L and Shackleton , M . 2003 . The simplest American and real option approximations: Geske–Johnson interpolation in maturity and yield . Applied Economics Letters , 10 : 709 – 16 .
   Web of Science ®Google Scholar
• Copeland , T-E . 2000 . New developments in valuation Strategic Finance in the 21 st Century (15 experts opinions) (Eds) L. Keuleneer; D. Swagerman and W. Verhoog, John Wiley and Sons Ltd, Amsterdam
   Google Scholar
• Cortazar , G . 2001 . “ Simulation and numerical methods in real options valuation ” . In Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions , Edited by: Schwartz , ES and Trigeorgis , L . 601 – 20 . Cambridge, MA : MIT Press .
   Google Scholar
• Cortazar , G and Schwartz , E-S . 1998 . Monte Carlo evaluation model of an undeveloped oil field . Journal of Energy Finance & Development , 3 : 73 – 84 .
   Google Scholar
• Cox , JC , Ross , S-A and Rubinstein , M . 1979 . Option pricing: a simplified approach . Journal of Financial Economics , 7 : 229 – 63 .
   Web of Science ®Google Scholar
• Danbolt , J , Hirst , I and Jones , E . 2002 . Measuring growth opportunities . Applied Financial Economics , 12 : 203 – 12 .
   Google Scholar
• Grant , D , Vora , G and Weeks , D . 1996 . Simulation and the early-exercise option problem . Journal of Financial Engineering , 5 : 211 – 27 .
   Google Scholar
• Grant , D , Vora , G and Weeks , D . 1997 . Path-dependent options: extending the Monte Carlo simulation approach . Management Science , 43 : 1589 – 602 .
   Web of Science ®Google Scholar
• Hull , J . 1993 . Options, Futures and other Derivative Securities, 2nd edn , Prentice Hall .
   Google Scholar
• Hull , J and White , A . 1993 . Efficient procedures for valuing European and American path-dependent options . Journal of Derivatives , 1 : 21 – 3 .
   Google Scholar
• Ibáñez , A and Zapatero , F . 2004 . Monte Carlo valuation of American options through computation of the optimal exercise frontier . Journal of Financial and Quantitative Analysis , 39 : 253 – 75 .
   Web of Science ®Google Scholar
• Lander , D and Pinches , G . 1998 . Challenges to the practical implementation of modelling and valuing real options . Quarterly Review of Economics and Finance , 38 : 537 – 67 .
   Google Scholar
• Lee , C-J . 1988 . Capital budgeting under uncertainty: the issue of optimal timing . Journal of Business Finance and Accounting , 15 : 155 – 68 .
   Google Scholar
• León , A and Piñeiro , D . 2004 . Valuation of a biotech company: a real options approach , Working paper No. 2004–0420, CEMFI
   Google Scholar
• Longstaff , F-A and Schwartz , E-S . 2001 . Valuing American options by simulation: a simple least-squares approach . Review of Financial Studies , 14 : 113 – 47 .
   Web of Science ®Google Scholar
• McDonald , R and Siegel , D . 1986 . The value of waiting to invest . Quarterly Journal of Economics , 101 : 707 – 27 .
   Web of Science ®Google Scholar
• Merton , R-C . 1976 . Option pricing when underlying stock returns are discontinuous . Journal of Financial Economics , 3 : 125 – 44 .
   Web of Science ®Google Scholar
• Miltersen , K-R and Schwartz , E-S . 2004 . R&D investments with competitive interactions . Review of Finance , 8 : 355 – 401 .
   Google Scholar
• Myers , S-C . 1977 . Determinants of corporate borrowing . Journal of Financial Economics , 5 : 147 – 75 .
   Web of Science ®Google Scholar
• Myers , S-C . 1996 . Fischer black's contributions to corporate finance . Financial Management , 25 : 95 – 103 .
   Web of Science ®Google Scholar
• Navas , J-F . 2003 . Correct calculation of volatility in a Jump-Diffusion model . Journal of Derivatives , 11 : 66 – 72 .
   Google Scholar
• Newton , D-P and Pearson , A-W . 1994 . Application of OPT to R&D . R&D Management , 24 : 83 – 9 .
   Web of Science ®Google Scholar
• Paddock , J-L , Siegel , D-R and Smith , J L . 1988 . Option valuation of claims on real assets: the case of offshore petroleum leases . Quarterly Journal of Economics , 103 : 479 – 508 .
   Web of Science ®Google Scholar
• Pindyck , R . 1991 . Irreversibility, uncertainty and investment . Journal of Economic Literature , 39 : 1110 – 48 .
   Google Scholar
• Raymar , S and Zwecher , M . 1997 . Monte Carlo estimation of American call options on the maximum of several stocks . Journal of Derivatives , 5 : 7 – 23 .
   Google Scholar
• Schwartz , E-S . 2004 . Patents and R&D as real options . Economics Notes , 33 : 23 – 54 .
   Google Scholar
• Schwartz , E-S and Moon , M . 2000 . Rational pricing of internet companies . Financial Analyst Journal , 56 : 62 – 75 .
   Google Scholar
• Schwartz , E-S and Moon , M . 2001 . Rational pricing of internet companies revisited . Financial Review , 36 : 7 – 26 .
   Google Scholar
• Tilley , J-A . 1993 . Valuing American options in a path simulation model . Transactions of the Society of Actuaries , 45 : 83 – 104 .
   Google Scholar
• Trigeorgis , L . 1996 . Real Options. Managerial Flexibility and Strategy in Resource Allocation , Cambridge, MA : MIT Press .
   Google Scholar
• Vandenbroucke , J . 1999 . General trigger values of optimal investment . Applied Economics Letters , 6 : 287 – 90 .
   Web of Science ®Google Scholar