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VALUING REAL CAPITAL INVESTMENTS USING THE LEAST-SQUARES MONTE CARLO METHOD

机译:使用最小二乘蒙特卡罗方法对真实资本投资进行估值

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摘要

The recently developed least-squares Monte Carlo (LSM) method provides a simple and efficient technique for valuing American-type options. The proposed method is applicable to the cases of compound real options, like the other numerical techniques such as finite difference and lattice methods, with the additional advantage to handle easily the cases of multiple uncertain state variables with different and complex stochastic processes. With this advantage, the LSM method is not only efficient for valuing multi-factor American options, but it can also be extended for valuing complex real investments having many embedded real options and involving multiple uncertain state variables. This article examines the applicability of the LSM method in valuing real capital investments. Two valuation examples have been provided to test the efficiency of the proposed method in both the valuation and the decision-making processes.
机译:最近开发的最小二乘蒙特卡洛(LSM)方法为评估美式期权提供了一种简单有效的技术。所提出的方法适用于复合实物期权的情况,例如有限差分法和点阵法等其他数值技术,其附加优点是可以轻松处理具有不同和复杂随机过程的多个不确定状态变量的情况。凭借这一优势,LSM方法不仅可以有效地评估多因素美式期权,而且还可以扩展用于评估具有许多嵌入式实物期权并涉及多个不确定状态变量的复杂实物投资。本文研究了LSM方法在评估实际资本投资中的适用性。提供了两个评估示例,以测试所提出方法在评估和决策过程中的效率。

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