Regime switching in stochastic models of commodity prices : an application to an optimal tree harvesting problem
Shan Chen; Margaret Insley
| Year of publication: |
2012
|
|---|---|
| Authors: | Chen, Shan ; Insley, Margaret |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 2, p. 201-219
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| Subject: | Regime switching | Optimal tree harvesting | Mean reverting price | Lumber derivatives prices | Hamilton-Jacobi-Bellman variational inequality | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Rohstoffpreis | Commodity price | Markov-Kette | Markov chain | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009489614