کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099055 | 1376981 | 2012 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem](/preview/png/5099055.png)
چکیده انگلیسی
This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two regimes characterized by a different mean reverting process. A single regime, mean reverting process is also calibrated. The value of a representative stand of trees and optimal harvesting prices are determined by specifying a Hamilton-Jacobi-Bellman Variational Inequality, which is solved for both pricing models using a implicit finite difference approach. The regime switching model is found to more closely match the behavior of futures prices than the single regime model. In addition, analysis of a tree harvesting problem indicates significant differences in terms of land value and optimal harvest thresholds between the regime switching and single regime models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 2, February 2012, Pages 201-219
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 2, February 2012, Pages 201-219
نویسندگان
Shan Chen, Margaret Insley,