Pricing of delayed options based on Monte Carlo simulation

摘要：

In this paper, we establish links between Monte Carlo method of the European options and Monte Carlo simulations method of the real options by making a comparison, then pricing a delayed option of mining investment through applying the following three methods: the traditional NPV approach, the B-S model and the Monte Carlo simulations method. The results show that the Monte Carlo simulations method is more accurate than other methods.

关键词： Monte Carlo simulations delayed options real options

作者: Qingchun LIU Rongjie TIAN Zongquan SHA

作者单位: School of Management and Economics Beijing Institute of Technology,Beijing,100081,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 212-216

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）