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...
| Váldodahkki: | |
|---|---|
| Eará dahkkit: | |
| Materiálatiipa: | Oahppočájánas |
| Giella: | English |
| Almmustuhtton: |
2011
|
| Fáttát: |