A new mathematical model for pricing a mine extraction project

DOI10.1016/J.NONRWA.2019.04.007MaRDI QIDQ2286643zbMATH OpenOpenAlexWikidataFDO

Authors Michele Pignotti, M. Suárez-Taboada, Carlos Vázquez

Publication date 22 January 2020

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2019.04.007

zbMATH Keywords

Feynman-Kac formulaHörmander theoryultraparabolic hypoelliptic operator

Mathematics Subject Classification ID

Cauchy-Kovalevskaya theorems (35A10) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Brownian motion (60J65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• scientific article; zbMATH DE number 3198328 (Why is no real title available?)
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
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• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
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• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Stochastic differential equations. An introduction with applications.
• The Dirichlet problem for a class of ultraparabolic equations
• The expected lifetime of an extraction project.
• The integral of geometric Brownian motion
• Uniqueness of positive solutions of parabolic equations with unbounded coefficients

Cited in

(8)

• Towards realistic microeconomic models of mineral exploitation. III
• Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method
• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
• Pricing mining concessions based on combined multinomial pricing model
• Pricing options on investment project expansions under commodity price uncertainty
• The expected lifetime of an extraction project.
• scientific article; zbMATH DE number 15338 (Why is no real title available?)
• A long-term mathematical model for mining industries

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