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

Author:

Li Nan,Wang Song,Zhang Kai

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference26 articles.

1. Optimal sovereign investment in a stochastic volatility jump-diffusion model;Animante;SSRN Electron. J.,2016

2. The pricing of options and corporate liabilities;Black;J. Polit. Economy,1973

3. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory;Barles,1997

4. Finite difference methods and jump processes arising in the pricing of contingent claims;Brennan;J. Financ. Quant. Anal.,1978

5. Evaluating natural resource investments;Brennan;J. Bus.,1985

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1. Valuation of mining projects under dynamic model framework;Annals of Operations Research;2023-09-02

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