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...

書目詳細資料
主要作者:	Witte, J
其他作者:	Reisinger, C
格式:	Thesis
語言:	English
出版:	2011
主題:	Mathematics

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