Al-Foraih, Mishari and Johnson, Paul and Duck, Peter (2014) Investment Lags: A Numerical Approach. In: 3rd International Conference on Operations Research and Enterprise Systems, 6-8 March 2014, Angers, France.
![[thumbnail of ICORESp.pdf]](https://eprints.maths.manchester.ac.uk/style/images/fileicons/application_pdf.png) |
PDF
ICORESp.pdf Download (74kB) |
Abstract
In this paper we use a mixture of numerical methods including finite difference and body fitted co-ordinates to form a robust stable numerical scheme to solve the investment lag model presented in the paper by Bar-Ilan and Strange (1996). This allows us to apply our methodology to models with different stochastic processes that does not have analytic solutions.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Real Option; Stochastic Models; Time-Varying demand; Investment lag |
| Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations MSC 2010, the AMS's Mathematics Subject Classification > 49 Calculus of variations and optimal control; optimization |
| Depositing User: | Mr Mishari Al-Foraih |
| Date Deposited: | 11 Jun 2014 |
| Last Modified: | 20 Oct 2017 14:13 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/2144 |
Actions (login required)
 |
View Item |