Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach

THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

William Margrabe · The Journal of Finance · 1978 · 1.6K citations

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Investment and the Valuation of Firms When There is an Option to Shut Down

Robert L. McDonald, Daniel R. Siegel · International Economic Review · 1985 · 788 citations

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The American Put Option Valued Analytically

Robert Geske, Herb Johnson · The Journal of Finance · 1984 · 695 citations

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Pricing American-style securities using simulation

Mark Broadie, Paul Glasserman · Journal of Economic Dynamics and Control · 1997 · 637 citations · Full text

Business, Economics, Finance +17

Numerical Valuation of High Dimensional Multivariate American Securities

Jérôme Barraquand, Didier Martineau · Journal of Financial and Quantitative Analysis · 1995 · 336 citations

Business, Economics, Finance +17