IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v28y2004i7p1437-1460.html
   My bibliography  Save this article

Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically

Author

Listed:
  • Dangl, Thomas
  • Wirl, Franz

Abstract

No abstract is available for this item.

Suggested Citation

  • Dangl, Thomas & Wirl, Franz, 2004. "Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1437-1460, April.
  • Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1437-1460
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(03)00110-6
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, vol. 32(2), pages 449-462, May.
    2. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 87-100, March.
    3. Kalyan Raman & Rabikar Chatterjee, 1995. "Optimal Monopolist Pricing Under Demand Uncertainty in Dynamic Markets," Management Science, INFORMS, vol. 41(1), pages 144-162, January.
    4. Bardia Kamrad & Peter Ritchken, 1991. "Multinomial Approximating Models for Options with k State Variables," Management Science, INFORMS, vol. 37(12), pages 1640-1652, December.
    5. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    6. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    7. Brennan, Michael J. & Schwartz, Eduardo S., 1978. "Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(03), pages 461-474, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Feng Song & Jinhua Zhao & Scott M. Swinton, 2011. "Switching to Perennial Energy Crops Under Uncertainty and Costly Reversibility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(3), pages 764-779.
    2. Mosiño, Alejandro & Pommeret, Aude, 2015. "Switching to clean(er) technologies in a stochastic environment," MPRA Paper 83841, University Library of Munich, Germany.
    3. Walsh, D.M. & O'Sullivan, K. & Lee, W.T. & Devine, M.T., 2014. "When to invest in carbon capture and storage technology: A mathematical model," Energy Economics, Elsevier, vol. 42(C), pages 219-225.
    4. Guglielmo Caporale & Mario Cerrato, 2010. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
    5. Niko Jaakkola, 2013. "Putting OPEC Out of Business," OxCarre Working Papers 099, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    6. Dorothée Charlier & Alejandro Mosino & Aude Pommeret, 2011. "Energy-saving Technology Adoption under Uncertainty in the Residential Sector," Annals of Economics and Statistics, GENES, issue 103-104, pages 43-70.
    7. Jaime A. Londo~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
    8. Alejandro Mosiño, 2012. "Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 13-27, January.
    9. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
    10. Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian, 2010. "Evaluation of hydropower upgrade projects - a real options approach," MPRA Paper 23005, University Library of Munich, Germany.
    11. Gryglewicz, Sebastian & Huisman, Kuno J.M. & Kort, Peter M., 2008. "Finite project life and uncertainty effects on investment," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2191-2213, July.
    12. Stefanie Engel & Charles Palmer & Luca Taschini & Simon Urech, 2012. "Cost-effective payments for reducing emissions from deforestation under uncertainty," GRI Working Papers 72, Grantham Research Institute on Climate Change and the Environment.
    13. Schwanitz, Valeria Jana & Wierling, August, 2016. "Offshore wind investments – Realism about cost developments is necessary," Energy, Elsevier, vol. 106(C), pages 170-181.
    14. Engel, Stefanie & Palmer, Charles & Taschini, Luca & Urech, Simon, 2011. "The Design of Payments for Avoided Deforestation Under Uncertainty: Insight from Real Option Theory," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114816, European Association of Agricultural Economists.
    15. Gaowang Wang & Heng-fu Zou, 2010. "Multiple Equilibria and Indeterminacy in an Optimal Growth Model with Endogenous Capital Depreciation," CEMA Working Papers 392, China Economics and Management Academy, Central University of Finance and Economics.
    16. Palmer, Charles & Taschini, Luca & Laing, Timothy, 2017. "Getting more ‘carbon bang’ for your ‘buck’ in Acre State, Brazil," Ecological Economics, Elsevier, vol. 142(C), pages 214-227.
    17. Wirl, Franz, 2006. "Consequences of irreversibilities on optimal intertemporal CO2 emission policies under uncertainty," Resource and Energy Economics, Elsevier, vol. 28(2), pages 105-123, May.
    18. Mosiño, Alejandro, 2012. "Producing energy in a stochastic environment: Switching from non-renewable to renewable resources," Resource and Energy Economics, Elsevier, vol. 34(4), pages 413-430.
    19. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.
    20. Stefanie Engel & Charles Palmer & Luca Taschini & Simon Urech, 2015. "Conservation Payments under Uncertainty," Land Economics, University of Wisconsin Press, vol. 91(1), pages 36-56.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1437-1460. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jedc .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.