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Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method.
Nan Li
Song Wang
Kai Zhang
Published in:
Appl. Math. Comput. (2022)
Keyphrases
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finite difference method
partial differential equations
real option
numerical methods
investment decisions
heat equation
multiscale
pairwise
level set
anisotropic diffusion
stock price