{ "_id": "6a1059f4acfb0bcc41ca389b", "Package": "LSMRealOptions", "Title": "Value American and Real Options Through LSM Simulation", "Version": "0.2.1", "Authors@R": "c(person(\"Thomas\", \"Aspinall\", email = \"tomaspinall2512@gmail.com\", \nrole = c(\"aut\", \"cre\"),\ncomment = c(ORCID = \"0000-0002-6968-1989\")),\nperson(\"Adrian\", \"Gepp\", email = \"adgepp@bond.edu.au\",\nrole = c(\"aut\"),\ncomment = c(ORCID = \"0000-0003-1666-5501\")),\nperson(\"Geoff\", \"Harris\", email = \"gharris@bond.edu.au\",\nrole = c(\"aut\"),\ncomment = c(ORCID = \"0000-0003-4284-8619\")),\nperson(\"Simone\", \"Kelly\", email = \"skelly@bond.edu.au\",\nrole = c(\"aut\"),\ncomment = c(ORCID = \"0000-0002-6528-8557\")),\nperson(\"Colette\", \"Southam\", email = \"csoutham@bond.edu.au\",\nrole = c(\"aut\"),\ncomment = c(ORCID = \"0000-0001-7263-2347\")),\nperson(\"Bruce\", \"Vanstone\", email = \"bvanston@bond.edu.au\",\nrole = c(\"aut\"),\ncomment = c(ORCID = \"0000-0002-3977-2468\")) )", "Description": "The least-squares Monte Carlo (LSM) simulation method is a\npopular method for the approximation of the value of early and\nmultiple exercise options. 'LSMRealOptions' provides\nimplementations of the LSM simulation method to value American\noption products and capital investment projects through real\noptions analysis. 'LSMRealOptions' values capital investment\nprojects with cash flows dependent upon underlying state\nvariables that are stochastically evolving, providing analysis\ninto the timing and critical values at which investment is\noptimal. 'LSMRealOptions' provides flexibility in the\nstochastic processes followed by underlying assets, the number\nof state variables, basis functions and underlying asset\ncharacteristics to allow a broad range of assets to be valued\nthrough the LSM simulation method. Real options projects are\nfurther able to be valued whilst considering construction\nperiods, time-varying initial capital expenditures and\npath-dependent operational flexibility including the ability to\ntemporarily shutdown or permanently abandon projects after\ninitial investment has occurred. The LSM simulation method was\nfirst presented in the prolific work of Longstaff and Schwartz\n(2001) .", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.1.1.9001", "VignetteBuilder": "knitr", "RdMacros": "lifecycle", "Repository": "https://tomaspinall.r-universe.dev", "Date/Publication": "2021-06-24 10:42:47 UTC", "RemoteUrl": "https://github.com/tomaspinall/lsmrealoptions", "RemoteRef": "HEAD", "RemoteSha": "275f51520464b61270e374f04fa4bc732d076277", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-09 06:15:50 UTC", "User": "root" }, "Author": "Thomas Aspinall [aut, cre] (ORCID:\n),\nAdrian Gepp [aut] (ORCID: ),\nGeoff Harris [aut] (ORCID: ),\nSimone Kelly [aut] (ORCID: ),\nColette Southam [aut] (ORCID: ),\nBruce Vanstone [aut] (ORCID: )", "Maintainer": "Thomas Aspinall ", "MD5sum": "40ea2700aa946ed5d48176879bcaaa99", "_user": "tomaspinall", "_type": "src", "_file": "LSMRealOptions_0.2.1.tar.gz", "_fileid": 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stochastic process through Monte Carlo simulation", "topics": [ "GOU_simulate" ] }, { "page": "IGBM_simulate", "title": "Simulate the inhomogeneous geometric Brownian motion (IGBM) stochastic process through Monte Carlo simulation", "topics": [ "IGBM_simulate" ] }, { "page": "LSM_american_option", "title": "Value American-style options through least-squares Monte Carlo (LSM) simulation", "topics": [ "LSM_american_option" ] }, { "page": "LSM_real_option", "title": "Value capital investment projects through least-squares Monte Carlo (LSM) simulation:", "topics": [ "LSM_real_option" ] }, { "page": "LSM_real_option_OF", "title": "Value operationally flexible capital investment projects through least-squares Monte Carlo (LSM) simulation:", "topics": [ "LSM_real_option_OF" ] } ], "_readme": "https://github.com/tomaspinall/lsmrealoptions/raw/HEAD/README.md", "_rundeps": [ "cli", "lifecycle", "rlang" ], "_vignettes": [ { "source": "LSMRealOptions.Rmd", "filename": "LSMRealOptions.html", "title": "Valuing American and Real Options Through Least-Squares Monte Carlo Simulation", "engine": "knitr::rmarkdown", "headings": [ "1. Introduction", "2. The Least-Squares Monte Carlo Simulation Method:", "3. Valuing Vanilla American Put Options:", "3.1 American Put Option Example:", "3.2 American call option on the maximum of two assets:", "3.3 Replicate table 1 of Longstaff and Schwartz (2001):", "4. Real Options Analysis - Valuing Capital Investment Projects:", "4.1 Example 1 - Project Value Of One Underlying Asset:", "4.2 Example 2 - Project Value Of One Underlying Asset With operational Flexibility:", "4.3 Plot the cumulative probability of investment:", "4.3 Plot the Operating States of the Investment Project:", "5. Real Options Analysis - Calculating Investment Trigger Values:", "6. Real Options Analysis - Two-Factor Stochastic Process:", "6.1 The Two-factor stochastic process:", "References:" ], "created": "2021-01-18 04:14:04", "modified": "2021-06-16 10:03:58", "commits": 3 } ], "_score": 4.290034611362518, "_indexed": true, "_nocasepkg": "lsmrealoptions", "_universes": [ "tomaspinall" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.2.1", "date": "2026-05-09T06:17:41.000Z", "distro": "noble", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "63fde5db723037cf23cfe04d97603134b80c9acfcd940931293d4aa13bf77dfa", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.6.0", "os": "linux", "version": "0.2.1", "date": "2026-05-09T06:17:58.000Z", "distro": "noble", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "f1d8ae93be4ed9a07ac58a25982ee593f5a756285f330b75059a152aee0bbac1", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.5.3", "os": "mac", "version": "0.2.1", "date": "2026-05-09T06:18:18.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "2c53227cc3594340751af87db50ca5b4ed1fc495c6fe2b48e57dd95a51a2a122", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.6.0", "os": "mac", "version": "0.2.1", "date": "2026-05-09T06:17:42.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "034b764758c80e5e41f121912acb1cc2172722807df1cdebede53f2c58e89ad0", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.7.0", "os": "win", "version": "0.2.1", "date": "2026-05-09T06:17:20.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "238a1bb1fba3abe8604f8ada113bb080eb01e9a52bbb4a828b2005334315a4d6", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.5.3", "os": "win", "version": "0.2.1", "date": "2026-05-09T06:17:07.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "203c8098bd69eb917ada8f1ee3136afeaf22369622b4703fdb00b871b969280e", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.6.0", "os": "win", "version": "0.2.1", "date": "2026-05-09T06:17:22.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "5061533de01d24e4719d876cfbdcbc286c3c7d3a95016cfc0b49343c3d0f6dd8", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" }, { "r": "4.6.0", "os": "wasm", "version": "0.2.1", "date": "2026-05-22T13:27:59.000Z", "commit": "275f51520464b61270e374f04fa4bc732d076277", "fileid": "c55f70994dfabbd5ad132bb537a74eddc488fd998d200eb6782907d56a9b8879", "status": "success", "buildurl": "https://github.com/r-universe/tomaspinall/actions/runs/25593777687" } ] }