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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Witte, J
Rannpháirtithe:	Reisinger, C
Formáid:	Tráchtas
Teanga:	English
Foilsithe / Cruthaithe:	2011
Ábhair:	Mathematics

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