{"product_id":"assessing-lsmc-for-the-kt-general-real-options-pricing-model-von-giuseppe-alesii","title":"Assessing LSMC for the KT General Real Options Pricing Model","description":"\u003cp\u003eWe assess the applicability of (Longstaff and  Schwartz, 2001) Least Squares Monte Carlo method to  the General Real Options Pricing Model of  (Kulatilaka and Trigeorgis, 1994). We study LSMC  under six different stochastic processes: GBM, up to  three dimensions, models 1, 2 and 3 in (Schwartz,  1997), benchmarking every application by lattice  methods. We explore empirically a generalization of  proposition 1 page 124 in (Longstaff and Schwartz,  2001) with respect to the number of discretization  points, of basis functions and the number of  simulated paths. We study the speed precision  tradeoff of LSMC individual estimates. Finally, we  show their statistical properties.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838390451\"\u003e\u003ch3\u003eAn Application of Least Squares Monte Carlo to the Kulatilaka Trigeorgis General Real Options Pricing Model\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838390451","offer_id":39469185826909,"sku":"9783838390451","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/1afebf62-f132-4153-a1b1-3a1859c3170d.jpg?v=1737266664","url":"https:\/\/shop.autorenwelt.de\/products\/assessing-lsmc-for-the-kt-general-real-options-pricing-model-von-giuseppe-alesii","provider":"Autorenwelt Shop","version":"1.0","type":"link"}