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...
| Egile nagusia: | |
|---|---|
| Beste egile batzuk: | |
| Formatua: | Thesis |
| Hizkuntza: | English |
| Argitaratua: |
2011
|
| Gaiak: |