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...
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| Format: | Journal article |
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2012
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