A Real Options Approach, Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm
This thesis implements the Least Squares Monte Carlo Approach to value a pharmaceutical R&D project. The main objective of this thesis is to identify the usefulness of the Least Squares Monte Carlo (LSM) Approach for the R&D investment valuation. Schwartz (2001) proposes a LSM algorithm in...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21321/ |
| _version_ | 1848792228999200768 |
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| author | Dai, Kai |
| author_facet | Dai, Kai |
| author_sort | Dai, Kai |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This thesis implements the Least Squares Monte Carlo Approach to value a pharmaceutical R&D project.
The main objective of this thesis is to identify the usefulness of the Least Squares Monte Carlo (LSM) Approach for the R&D investment valuation. Schwartz (2001) proposes a LSM algorithm in the article Patents and R&D as Real Options. This algorithm is implemented by using a program developed by MATLAB.
Before this thesis, Navarro Hernandez (2003) has already attempted to implement Schwartzs algorithm by the MATLAB program. However, the implementation failed due to the misunderstanding of the LSM approach as well as the mistakes in programming. In order to implement the LSM successfully, this thesis proposes a simple numerical example to identify the algorithm of the LSM approach and puts a lot of efforts on programming the algorithm.
Besides the implementation of the LSM approach, this thesis also provides a systematical review on the real option approach. The advantages of LSM approach for pharmaceutical R&D investment valuation are also explored.
Finally, this thesis introduces the detailed pharmaceutical R&D process, so that it can be fully understood with little or no background knowledge of this industry. |
| first_indexed | 2025-11-14T18:41:05Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21321 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:41:05Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-213212017-12-26T16:02:23Z https://eprints.nottingham.ac.uk/21321/ A Real Options Approach, Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm Dai, Kai This thesis implements the Least Squares Monte Carlo Approach to value a pharmaceutical R&D project. The main objective of this thesis is to identify the usefulness of the Least Squares Monte Carlo (LSM) Approach for the R&D investment valuation. Schwartz (2001) proposes a LSM algorithm in the article Patents and R&D as Real Options. This algorithm is implemented by using a program developed by MATLAB. Before this thesis, Navarro Hernandez (2003) has already attempted to implement Schwartzs algorithm by the MATLAB program. However, the implementation failed due to the misunderstanding of the LSM approach as well as the mistakes in programming. In order to implement the LSM successfully, this thesis proposes a simple numerical example to identify the algorithm of the LSM approach and puts a lot of efforts on programming the algorithm. Besides the implementation of the LSM approach, this thesis also provides a systematical review on the real option approach. The advantages of LSM approach for pharmaceutical R&D investment valuation are also explored. Finally, this thesis introduces the detailed pharmaceutical R&D process, so that it can be fully understood with little or no background knowledge of this industry. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21321/1/MAlixkd3.pdf Dai, Kai (2007) A Real Options Approach, Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm. [Dissertation (University of Nottingham only)] (Unpublished) Real Options Approach Least Squares Monte Carlo Algorithm MATLAB program Pharmaceutical R&D Investment |
| spellingShingle | Real Options Approach Least Squares Monte Carlo Algorithm MATLAB program Pharmaceutical R&D Investment Dai, Kai A Real Options Approach, Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title | A Real Options Approach,
Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title_full | A Real Options Approach,
Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title_fullStr | A Real Options Approach,
Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title_full_unstemmed | A Real Options Approach,
Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title_short | A Real Options Approach,
Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm |
| title_sort | real options approach,
pricing a pharmaceutical r&d project using the least squares monte carlo algorithm |
| topic | Real Options Approach Least Squares Monte Carlo Algorithm MATLAB program Pharmaceutical R&D Investment |
| url | https://eprints.nottingham.ac.uk/21321/ |