Investment Lags - A Numerical Approach

M. Al-Foraih; P. Johnson; P. Duck

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Paper

Investment Lags - A Numerical Approach

Topics: Decision Analysis; Mathematical Modeling; Stochastic Processes

In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems ICORES - Volume 1, 282-287, 2014 , ESEO, Angers, Loire Valley, France

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

Affiliation: University of Manchester, United Kingdom

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.; Johnson, P. and Duck, P. (2014). Investment Lags - A Numerical Approach. In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-758-017-8; ISSN 2184-4372, SciTePress, pages 282-287. DOI: 10.5220/0004920702820287

@conference{icores14,
author={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 - ICORES},
year={2014},
pages={282-287},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004920702820287},
isbn={978-989-758-017-8},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES
TI - Investment Lags - A Numerical Approach
SN - 978-989-758-017-8
IS - 2184-4372
AU - Al-Foraih, M.
AU - Johnson, P.
AU - Duck, P.
PY - 2014
SP - 282
EP - 287
DO - 10.5220/0004920702820287
PB - SciTePress