Valuation of Timber Harvest Contracts as American Call Options with Modified Least-Squares Monte Carlo Algorithm

$29.50 plus tax (Refund Policy)

Buy Article:

Abstract:

This article presents a Monte Carlo methodology for the valuation of timber harvest contracts in the presence of stochastic timber prices, flexibility in harvest timing, and penalty clauses. Harvest contracts are treated as American call options on the value of timber. The modifications to the least-squares Monte Carlo algorithm necessary to incorporate penalty clauses are presented. The application of the proposed methodology is then demonstrated on a valuation problem characteristic of harvest contracts sold by the Washington Department of Natural Resources.

Keywords: American call option; least squares Monte Carlo; timber harvest contract

Document Type: Research Article

Publication date: October 1, 2010

More about this publication?
  • Membership Information
  • ingentaconnect is not responsible for the content or availability of external websites
Related content

Tools

Favourites

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more