Patents and R&D as Real Options
Posted: December 16th, 2004, 1:26 pm
Hi everybody! This is my first time posting a message for this forum!!! I'm working on the articole of Eduard Schwartz "Patents and R&D as Real Options" where a variation of the LSM algorithm is used to value an R&D project. I found in this forum a vba code that develops the LSM algorithm method for the valuation of an American Put Option but I cannot understand how to modify that vba code for the project valuation. I mean I don't understand how to do the regression and the controlled diffusion process who describes the dynamics of the expected cost to completion. Could someone give me some help. Thank you very much in advance!!!!!