LSMRealOptions: Value American and Real Options Through LSM Simulation

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>.

Version: 0.2.1
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: knitr, rmarkdown, ggplot2, dplyr, scales, NFCP
Published: 2021-06-26
Author: Thomas Aspinall ORCID iD [aut, cre], Adrian Gepp ORCID iD [aut], Geoff Harris ORCID iD [aut], Simone Kelly ORCID iD [aut], Colette Southam ORCID iD [aut], Bruce Vanstone ORCID iD [aut]
Maintainer: Thomas Aspinall <tomaspinall2512 at gmail.com>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: Finance
CRAN checks: LSMRealOptions results

Documentation:

Reference manual: LSMRealOptions.pdf
Vignettes: Valuing American and Real Options through Least-Squares Monte Carlo Simulation

Downloads:

Package source: LSMRealOptions_0.2.1.tar.gz
Windows binaries: r-devel: LSMRealOptions_0.2.1.zip, r-release: LSMRealOptions_0.2.1.zip, r-oldrel: LSMRealOptions_0.2.1.zip
macOS binaries: r-release (arm64): LSMRealOptions_0.2.1.tgz, r-release (x86_64): LSMRealOptions_0.2.1.tgz, r-oldrel: LSMRealOptions_0.2.1.tgz
Old sources: LSMRealOptions archive

Reverse dependencies:

Reverse imports: NFCP

Linking:

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