The valuation of multidimensional American real options using the LSM simulation method

In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113

• Type: Journal
• Year: 2008
• Where: COR
• Authors: Gonzalo Cortazar, Miguel Gravet, Jorge Urzua
• Keywords: COR 2008, Financial Options, Real Option, Real Option Models