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 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)

Recommendations

• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
• Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method
• Pricing options on investment project expansions under commodity price uncertainty
• A long-term mathematical model for mining industries
• The expected lifetime of an extraction project.

Cites work

• scientific article; zbMATH DE number 3198328 (Why is no real title available?)
• A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
• 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
• Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• PDE and martingale methods in option pricing.
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
• 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)

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

This page was built for publication: A new mathematical model for pricing a mine extraction project

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2286643)