Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties
In this work, we focus on establishing partial differential equation (PDE) models for pricing flexibility options on investment projects under uncertainties and numerical methods for solving these models. we develop a finite difference method and an advanced fitted finite volume scheme and combine w...
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| Format: | Thesis |
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Curtin University
2020
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| Online Access: | http://hdl.handle.net/20.500.11937/83866 |
| _version_ | 1848764609476952064 |
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| author | Li, Nan |
| author_facet | Li, Nan |
| author_sort | Li, Nan |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this work, we focus on establishing partial differential equation (PDE) models for pricing flexibility options on investment projects under uncertainties and numerical methods for solving these models. we develop a finite difference method and an advanced fitted finite volume scheme and combine with an interior penalty method, as well as their convergence analyses, to solve the PDE and LCP models developed. The MATLAB program is for implementing testing the models of numerical algorithms developed. |
| first_indexed | 2025-11-14T11:22:05Z |
| format | Thesis |
| id | curtin-20.500.11937-83866 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:22:05Z |
| publishDate | 2020 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-838662021-05-31T05:40:49Z Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties Li, Nan In this work, we focus on establishing partial differential equation (PDE) models for pricing flexibility options on investment projects under uncertainties and numerical methods for solving these models. we develop a finite difference method and an advanced fitted finite volume scheme and combine with an interior penalty method, as well as their convergence analyses, to solve the PDE and LCP models developed. The MATLAB program is for implementing testing the models of numerical algorithms developed. 2020 Thesis http://hdl.handle.net/20.500.11937/83866 Curtin University fulltext |
| spellingShingle | Li, Nan Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties |
| title | Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties |
| title_full | Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties |
| title_fullStr | Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties |
| title_full_unstemmed | Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties |
| title_short | Mathematical Models and Numerical Methods for Pricing
Options on Investment Projects under Uncertainties |
| title_sort | mathematical models and numerical methods for pricing
options on investment projects under uncertainties |
| url | http://hdl.handle.net/20.500.11937/83866 |