We consider the optimal harvesting problem for a fish farmer in a model which accounts for stochastic prices featuring a Schwartz 97 two factor price dynamics. Unlike any other literature in this context, we take account of the existence of a newly established market in salmon futures, which...

I model the impact of mitigation banking accompanied by Safe Harbor provisions on a land-owner's choices about supporting a population of an endangered species. The Safe Harbor provision is equivalent to a free call option on a population with market value, and mitigation banking can allow a...

In this paper we are concerned with optimal investment decisions when dealing with land allocation problems. We aim to emphasise the importance of flexible modelling in order to capture irreversibility. In particular, we stretch a discrete model, firstly developed in Coggins and Ramezani...

Forsyth (2000) concludes from an option value analysis that when considered together, Killarney Provincial Park and two adjacent parcels of land should be preserved in an expanded park. With a simple discrete difference approach, we assess the incremental value of the adjacent land and decompose...

Fisher [Resource Energy Econ. 22, 197-204 (2000)] offers a unifying framework for two concepts of (quasi-) option value suggested by Arrow, Fisher, Hanemann, and Henry (AFHH) on the one hand, and by Dixit and Pindyck (DP) on the other, and claims these two concepts to be equivalent. We show that...

Fisher (2000, this journal) offers a unifying framework for the concepts of quasi-option value, suggested by Arrow, Fisher, Hanemann, and Henry (AFHH), and the concept of real option value, suggested by Dixit and Pindyck (DP). He claims that the two concepts are equivalent. We argue that this...

We derive a general formula for the time decay, theta, for out-of-the-money European options on stocks and bonds at expiry, in terms of the density of jumps and payoff. Explicit formulas are derived for the standard put and call options, exchange options in stochastic volatility and local...

New methods for solving general linear parabolic partial differential equations (PDEs) in one space dimension are developed. The methods combine quadratic-spline collocation for the space discretization and classical finite differences, such as Crank-Nicolson, for the time discretization. The...

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...