Numerical solution of discretised HJB equations with applications in finance

Numerical solution of discretised HJB equations with applications in finance

<p>We consider the numerical solution of discretised Hamilton-Jacobi-Bellman (HJB) equations with applications in finance.</p><p>For the discrete linear complementarity problem arising in American option pricing, we study a policy iteration method. We show, analytically and numeric...

Deskribapen osoa

Xehetasun bibliografikoak
Egile nagusia:	Witte, J
Beste egile batzuk:	Reisinger, C
Formatua:	Thesis
Hizkuntza:	English
Argitaratua:	2011
Gaiak:	Mathematics

Antzeko izenburuak

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