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dc.contributor.authorHodder, James E.
dc.contributor.authorTourin, Agnès
dc.contributor.authorZariphopoulou, Thaleia
dc.date.accessioned2011-05-06T08:05:09Z
dc.date.available2011-05-06T08:05:09Z
dc.date.issued2001
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6192
dc.language.isoenen
dc.subjectinternational asset pricingen
dc.subjectpolitical risken
dc.subjectshipping costsen
dc.subjectvariational inequalitiesen
dc.subjectgradient constraintsen
dc.subjectviscosity solutionsen
dc.subject.ddc332en
dc.subject.classificationjelD81en
dc.subject.classificationjelG12en
dc.titleNumerical Schemes for Variational Inequalities Arising in International Asset Pricingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time jump process that affects the drift of the returns in the politically unstable countries. The valuation model gives rise to a singular stochastic control problem that is analyzed numerically. The fundamental tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a system of integral-differential Variational Inequalities with gradient constraints.en
dc.relation.isversionofjnlnameComputational Economics
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2001
dc.relation.isversionofjnlpages43-80en
dc.relation.isversionofdoihttp://dx.doi.org/10.1023/A:1011278629862en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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