On the Use of Policy Iteration as an Easy Way of Pricing American Options
In this paper, we demonstrate that policy iteration, introduced in the context of HJB equations in [P. A. Forsyth and G. Labahn, J. Comput. Finance, 11 (2007), pp. 1-44], is an extremely simple generic algorithm for solving linear complementarity problems (LCPs) resulting from the finite difference...
| मुख्य लेखकों: | , |
|---|---|
| स्वरूप: | Journal article |
| प्रकाशित: |
2012
|