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. Copyright © 2014 SCITEPRESS.
| Original language | English |
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| Title of host publication | ICORES 2014 - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems|ICORES - Proc. Int. Conf. Oper. Res. Enterp. Syst. |
| Publisher | Science and Technology Publications Lda |
| Pages | 282-287 |
| Number of pages | 5 |
| ISBN (Print) | 9789897580178 |
| Publication status | Published - 2014 |
| Event | 3rd International Conference on Operations Research and Enterprise Systems, ICORES 2014 - Angers, Loire Valley Duration: 1 Jul 2014 → … http://eprints.ma.man.ac.uk/2144/01/ICORESpaper.pdf |
Conference
| Conference | 3rd International Conference on Operations Research and Enterprise Systems, ICORES 2014 |
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| City | Angers, Loire Valley |
| Period | 1/07/14 → … |
| Internet address |
Keywords
- Investment lag
- Real option
- Stochastic models
- Time-varying demand