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...
| প্রধান লেখক: | |
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| অন্যান্য লেখক: | |
| বিন্যাস: | গবেষণাপত্র |
| ভাষা: | English |
| প্রকাশিত: |
2011
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| বিষয়গুলি: |