A fitted finite volume method for real option valuation of risks in climate change

DOI10.1016/J.CAMWA.2015.07.003MaRDI QIDQ2006268zbMATH OpenOpenAlexFDO

Authors Shuhua Chang, Jing Wang, Xin Yu Wang

Publication date 8 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.camwa.2015.07.003

zbMATH Keywords

climate changeconvergencefitted finite volume methodfree boundarypower penalty methodreal options

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Corporate finance (dividends, real options, etc.) (91G50) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• A power penalty approach to a nonlinear complementarity problem
• A power penalty approach to numerical solutions of two-asset American options
• A power penalty method for linear complementarity problems
• An adaptive discontinuous finite volume method for elliptic problems
• On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
• On modelling and pricing weather derivatives
• Power penalty method for a linear complementarity problem arising from American option valuation

Cited in

(12)

• Modeling and computation of water management by real options
• An empirical study of transboundary air pollution of the Beijing-Tianjin region
• Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
• Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area
• Investment flexibility as a barrier to entry
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
• Modelling and computation for the valuation of two-period \textit{R}\&\textit{D} projects by option games
• Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
• On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options

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