英文标题：
《A Hedged Monte Carlo Approach to Real Option Pricing》
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作者：
Edgardo Brigatti, Felipe Macias, Max O. Souza, and Jorge P. Zubelli
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最新提交年份：
2015
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英文摘要：
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to incorporating subjective views from management or market experts and to stochastic investment costs. It is based on the Hedged Monte Carlo strategy proposed by Potters et al (2001) where options are priced simultaneously with the determination of the corresponding hedging. The approach is particularly well-suited to the evaluation of commodity related projects whereby the availability of pricing formulae is very rare, the scenario simulations are usually available only in the historical measure, and the cash flows can be highly nonlinear functions of the prices.
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中文摘要：
在这项工作中，我们关注的是，当提供给经理的可用信息来自可能不完全市场中历史（或主观）衡量下的现金流模拟数据时，与投资或延迟投资项目相关的期权价值。我们的方法也适用于纳入管理层或市场专家的主观观点，以及随机投资成本。它基于Potters等人（2001）提出的对冲蒙特卡罗策略，期权定价与相应对冲的确定同时进行。该方法特别适合于评估与商品相关的项目，因为定价公式的可用性非常罕见，场景模拟通常仅在历史测量中可用，现金流可能是价格的高度非线性函数。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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