Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities
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Publication:2962131
DOI10.1137/16M1068323zbMath1355.91082arXiv1603.09049MaRDI QIDQ2962131
Stéphane Villeneuve, Erwan Pierre, Xavier Warin
Publication date: 16 February 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.09049
Numerical methods (including Monte Carlo methods) (91G60) Variational inequalities (49J40) Inventory, storage, reservoirs (90B05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)
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