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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| Formato: | Thesis |
| Idioma: | English |
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2011
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