NDLI: Robust Monte Carlo Method for R&D Real Options Valuation

Content Provider	Springer Nature Link
Author	Biancardi, Marta Villani, Giovanni
Copyright Year	2016
Abstract	This paper is devoted to developing a robust numerical analysis of least squares Monte Carlo (LSM) in valuing R&D investment opportunities. As it is well known, R&D projects are characterized by sequential investments and therefore they can be considered as compound options involving a set of interacting American-type options. The basic Monte Carlo simulation takes a long time and it is computationally intensive and inefficient. In this context, LSM method is a powerful and flexible tool for capital budgeting decisions and for valuing R&D investments. In particular way, numerical tests are performed to examine the optimal choice of basis function and polynomial degree in terms of reduction of the execution time, accuracy and improvement in the simulation.
Starting Page	481
Ending Page	498
Page Count	18
File Format	PDF
ISSN	09277099
Journal	Computational Economics
Volume Number	49
Issue Number	3
e-ISSN	15729974
Language	English
Publisher	Springer US
Publisher Date	2016-04-04
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Least-squares Monte Carlo R&D real options Robustness analysis Economic Theory/Quantitative Economics/Mathematical Methods Computer Application in Social and Behavioral Sciences Operation Research/Decision Theory Behavioral/Experimental Economics Math Applications in Computer Science
Content Type	Text
Resource Type	Article
Subject	Economics, Econometrics and Finance Computer Science Applications

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application

Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach

Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis

A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies

Conditions Sufficient to Infer Causal Relationships Using Instrumental Variables and Observational Data

A Note on Julia and MPI, with Code Examples

Entering H $$^{\infty }$$ -Optimal Control Robustness into a Macroeconomic LQ-Tracking Model

Interbank Exposure Networks

Cascades in Real Interbank Markets

Robust Monte Carlo Method for R&D Real Options Valuation

Similar Documents

Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application

Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach

Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis

A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies

Conditions Sufficient to Infer Causal Relationships Using Instrumental Variables and Observational Data

A Note on Julia and MPI, with Code Examples

Entering H $$^{\infty }$$ -Optimal Control Robustness into a Macroeconomic LQ-Tracking Model

Interbank Exposure Networks

Cascades in Real Interbank Markets

Robust Monte Carlo Method for R&D Real Options Valuation