| Name : R-LSMRealOptions
| |
| Version : 0.2.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : 1.45
| Date : 2024-08-05 21:14:19
|
| Group : Development/Libraries/Other
| Source RPM : R-LSMRealOptions-0.2.1-1.45.src.rpm
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| Size : 0.25 MB
| |
| Packager : (none)
| |
| Summary : Value American and Real Options Through LSM Simulation
|
Description :
The least-squares Monte Carlo (LSM) simulation method is a popular
method for the approximation of the value of early and multiple
exercise options. \'LSMRealOptions\' provides implementations of the LSM
simulation method to value American option products and capital
investment projects through real options analysis. \'LSMRealOptions\'
values capital investment projects with cash flows dependent upon
underlying state variables that are stochastically evolving, providing
analysis into the timing and critical values at which investment is
optimal. \'LSMRealOptions\' provides flexibility in the stochastic
processes followed by underlying assets, the number of state variables,
basis functions and underlying asset characteristics to allow a broad
range of assets to be valued through the LSM simulation method. Real
options projects are further able to be valued whilst considering
construction periods, time-varying initial capital expenditures and
path-dependent operational flexibility including the ability to
temporarily shutdown or permanently abandon projects after initial
investment has occurred. The LSM simulation method was first presented
in the prolific work of Longstaff and Schwartz (2001)
< doi:10.1093/rfs/14.1.113>.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/x86_64 |
