Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
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- Chen, Shan & Insley, Margaret, 2012. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 201-219.
- Shan chen & Margaret Insley, 2010. "Regime Switching in Stochastic Models of Commodity Prices: An Application to an Optimal Tree Harvesting Problem," Working Papers 1016, University of Waterloo, Department of Economics, revised Jul 2010.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Margaret Insley, 2013. "On the timing of non-renewable resource extraction with regime switching prices: an optimal stochastic control approach," Working Papers 1302, University of Waterloo, Department of Economics, revised Aug 2013.
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More about this item
Keywordsoptimal tree harvesting; regime switching; calibration; lumber derivatives prices; fully implicit finite difference approach;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- Q23 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Forestry
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-05 (All new papers)
- NEP-CMP-2008-09-05 (Computational Economics)
- NEP-ORE-2008-09-05 (Operations Research)
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