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Article title CALCULATION OF THE FUNDAMENTAL VALUE OF A CORPORATION, WHICH IS USING POSSIBILITY OF A LOAN, ON THE BASIS OF THE REAL OPTIONS METHOD
Authors V.S. Vasiliev
Section SECTION III. INFORMATION TECHNOLOGIES IN MANAGEMENT
Month, Year 10, 2008 @en
Index UDC 519.6
DOI
Abstract The results of this article perfects the existing model /Bensoussan A., Lecourne J., 1980/ of an optimal growth of a self-financing firm in an uncertain environment. The improvement consists in a possibility of a loan. The difference is that new origin items in the quasi-parabolic partial differential equation. The equation of the model is obtained on the basis of the real options method. Special attention is given to discussion of the boundary conditions, which are non-classic.

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Keywords optimal control; dynamic programming; Markov’s stochastic processes; partial differential equations; grid methods.
References 1. Bensoussan A., Lecourne J. Optimal growth of a self-financing firm in an uncertain environment, in applied stochastic control in econometrics and management science / Eds A.Bensoussan, R.Kleindorfer, C.S.Tapiero. – North Holland, 1980.
2. Бенсусан А., Лионс Ж.-Л. Импульсное управление и квазивариационные неравенства: Пер с фр. / Под ред. А.К.Керимова. – М.: Наука: Гл. ред. физ.-мат. лит., 1987. – 600 с.

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