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...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй
Үндсэн зохиолч:	Witte, J
Бусад зохиолчид:	Reisinger, C
Формат:	Дипломын ажил
Хэл сонгох:	English
Хэвлэсэн:	2011
Нөхцлүүд:	Mathematics

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