The Closed-Form Solution of an Extraction Model and Optimal Stopping Problems with Regime Switching
We aim to obtain by viscosity solution method the closed-form solution of a model concerning natural resource extraction in which a firm draws a schedule of when to stop the extraction. In this model, a regime-switching stochastic process is introduced to simulate the price of some natural resource....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/20/4268 |