Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method

DOI10.1016/J.AMC.2022.126937MaRDI QIDQ2079124zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 4 March 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2022.126937

zbMATH Keywords

convergencestabilityfinite difference methodreal option valuationfinancial engineering2D Black-Scholes equation

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)

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Cites work

• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• scientific article; zbMATH DE number 2110605 (Why is no real title available?)
• scientific article; zbMATH DE number 3215568 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
• Pricing options on investment project expansions under commodity price uncertainty
• The pricing of options and corporate liabilities

Cited in

(6)

• Combining system dynamic modeling and the Datar-Mathews method for analyzing metal mine investments
• Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches
• A new mathematical model for pricing a mine extraction project
• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
• Pricing options on investment project expansions under commodity price uncertainty

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