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

DOI10.1016/j.amc.2022.126937OpenAlexW4206947073MaRDI QIDQ2079124

Yanyan Li

Publication date: 4 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.126937

zbMATH Keywords

stabilityconvergencefinite difference methodfinancial engineeringreal option valuation2D Black-Scholes equation

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
• Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• Pricing options on investment project expansions under commodity price uncertainty
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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