A new mathematical model for pricing a mine extraction project

DOI10.1016/J.NONRWA.2019.04.007zbMATH Open1433.35412OpenAlexW2947552990WikidataQ127926374 ScholiaQ127926374MaRDI QIDQ2286643FDOQ2286643

M. Suárez-Taboada, Michele Pignotti, 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 formulaultraparabolic hypoelliptic operatorHörmander theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Brownian motion (60J65) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs with randomness, stochastic partial differential equations (35R60) 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) Cauchy-Kovalevskaya theorems (35A10)

Cites Work

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• Title not available (Why is that?)
• The Dirichlet problem for a class of ultraparabolic equations
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• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
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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
• Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
• A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
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• Uniqueness of positive solutions of parabolic equations with unbounded coefficients
• MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
• The expected lifetime of an extraction project
• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty

Cited In (3)

• Towards realistic microeconomic models of mineral exploitation. III
• Title not available (Why is that?)
• A long-term mathematical model for mining industries

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