Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing

被引：0
|
作者：
Wang, Song [1 ]
Li, Wen [1 ]
机构：
[1] Curtin Univ, Dept Math & Stat, Perth, WA 6845, Australia
来源：
FINITE DIFFERENCE METHODS, THEORY AND APPLICATIONS | 2015年 / 9045卷
关键词：
FINITE-VOLUME METHOD; POWER PENALTY METHOD; PARABOLIC VARIATIONAL INEQUALITY; GOVERNING AMERICAN; OBSTACLE PROBLEM; CONVERGENCE; APPROXIMATION; REPLICATION; VALUATION; PRICES;
D O I：
10.1007/978-3-319-20239-6_10
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
This paper provides a brief survey on some of the recent numerical techniques and schemes for solving Hamilton-Jacobi-Bellman equations arising in pricing various options. These include optimization methods in both infinite and finite dimensions and discretization schemes for nonlinear parabolic PDEs.
引用
收藏
页码：104 / 116
页数：13
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