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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Chi tiết về thư mục
Tác giả chính:	Witte, J
Tác giả khác:	Reisinger, C
Định dạng:	Luận văn
Ngôn ngữ:	English
Được phát hành:	2011
Những chủ đề:	Mathematics

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