IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v17y2001i1p43-80.html
   My bibliography  Save this article

Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

Author

Listed:
  • Hodder, James E
  • Tourin, Agnes
  • Zariphopoulou, Thaleia

Abstract

This 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 continuous 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. Copyright 2001 by Kluwer Academic Publishers

Suggested Citation

  • Hodder, James E & Tourin, Agnes & Zariphopoulou, Thaleia, 2001. "Numerical Schemes for Variational Inequalities Arising in International Asset Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 17(1), pages 43-80, February.
    • Handle: RePEc:kap:compec:v:17:y:2001:i:1:p:43-80
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0927-7099/contents
    Download Restriction: Access to the full text of the articles in this series is restricted.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wen Li & Song Wang, 2014. "A numerical method for pricing European options with proportional transaction costs," Journal of Global Optimization, Springer, vol. 60(1), pages 59-78, September.
    2. Roland Herzog & Karl Kunisch & Jörn Sass, 2013. "Primal-dual methods for the computation of trading regions under proportional transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(1), pages 101-130, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:17:y:2001:i:1:p:43-80. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.