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    Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties

    Li N 2020.pdf (8.930Mb)
    Access Status
    Open access
    Authors
    Li, Nan
    Date
    2020
    Supervisor
    Song Wang
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    Faculty
    Science and Engineering
    School
    School of Electrical Engineering, Computing and Mathematical Sciences
    URI
    http://hdl.handle.net/20.500.11937/83866
    Collection
    • Curtin Theses
    Abstract

    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.

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