The expected lifetime of an extraction project.

DOI10.1098/RSPA.2010.0247MaRDI QIDQ3090259zbMATH OpenOpenAlexFDO

Authors

Publication date 28 August 2011

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL http://eprints.maths.manchester.ac.uk/1584/1/Evatt_expected_lifetime_revision.pdf

zbMATH Keywords

Feynman-Kacfinite resource valuationsreal optionsstochastic partial differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
• A new mathematical model for pricing a mine extraction project
• The length of optimal extraction programs when depletion affects extraction costs
• Towards realistic microeconomic models of mineral exploitation. III
• Optimal resource extraction with uncertain reserves

Cites work

• Valuation and Optimal Operation of Electric Power Plants in Competitive Markets

Cited in

(5)

• On closed form expressions for probability of operational success and expected lifetime
• 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
• Perpetual options on multiple underlyings
• Optimal costless extraction rate changes from a non-renewable resource

This page was built for publication: The expected lifetime of an extraction project.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3090259)