This paper provides a detailed analysis of the Least Squares Monte Carlo Simulation
Method (Longstaff and Schwartz, 2001) and of the extension of Gamba (2003) to value …

Although real options generally occur within portfolios, most valuation approaches based on
either option pricing or decision analysis alone focus on single well-defined options. In this …

We consider the problem of optimal switching with finite horizon. This special case of
stochastic impulse control naturally arises during analysis of operational flexibility of exotic …

Natural disasters have resulted in record losses for the last 50 years. Decision makers are
rightly concerned about the vulnerability of their economies for which they have to make …

In this paper, we make use of a Bayesian (supervised learning) approach in pricing
American options via Monte Carlo simulations. We first present Gaussian process …

This Paper presents a new methodology to approximate the value of American options by
least-squares Monte Carlo simulation. Whereas Longstaff and Schwartz's approach does …

This paper discusses various extensions and implementation aspects of the primal-dual
algorithm of Andersen and Broadie for the pricing of Bermudan options. The main emphasis …

The value of infrastructure investments is frequently influenced by enormous uncertainty
surrounding both exogenous and endogenous factors. At the same time, however, their …

A least-squares Monte Carlo (LSM) approach, suggested in Longstaff and Schwartz (2001),
has become the dominant focus of numerical methods to compute the price of real options …

An American option is a type of option that can be exercised at any time up to its expiration.
American options are generally hard to value, as there is no closed-form solution for the …