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Authors: M. Al-Foraih ; P. Johnson and P. Duck

Affiliation: University of Manchester, United Kingdom

ISBN: 978-989-758-017-8

Keyword(s): Real Option, Stochastic Models, Time-Varying Demand, Investment Lag.

Related Ontology Subjects/Areas/Topics: Decision Analysis ; Mathematical Modeling ; Methodologies and Technologies ; Operational Research ; Stochastic Processes

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.

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Paper citation in several formats:
Al-Foraih, M.; Al-Foraih, M.; Johnson, P. and Duck, P. (2014). Investment Lags - A Numerical Approach.In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-017-8, pages 282-287. DOI: 10.5220/0004920702820287

@conference{icores14,
author={M. Al{-}Foraih. and M. Al{-}Foraih. and P. Johnson. and P. Duck.},
title={Investment Lags - A Numerical Approach},
booktitle={Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2014},
pages={282-287},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004920702820287},
isbn={978-989-758-017-8},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - Investment Lags - A Numerical Approach
SN - 978-989-758-017-8
AU - Al-Foraih, M.
AU - Al-Foraih, M.
AU - Johnson, P.
AU - Duck, P.
PY - 2014
SP - 282
EP - 287
DO - 10.5220/0004920702820287

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