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...

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Dettagli Bibliografici
Autore principale:	Witte, J
Altri autori:	Reisinger, C
Natura:	Tesi
Lingua:	English
Pubblicazione:	2011
Soggetti:	Mathematics

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