Pages that link to "Item:Q4902222"
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The following pages link to On the Use of Policy Iteration as an Easy Way of Pricing American Options (Q4902222):
Displaying 16 items.
- Stabilized explicit Runge-Kutta methods for multi-asset American options (Q316630) (← links)
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- A generalized Newton method for a class of discrete-time linear complementarity systems (Q2184087) (← links)
- A spectral element method for option pricing under regime-switching with jumps (Q2189667) (← links)
- Investment flexibility as a barrier to entry (Q2191517) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
- Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation (Q2318503) (← links)
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726) (← links)
- A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM (Q2874280) (← links)
- Optimization model to start harvesting in stochastic aquaculture system (Q4624948) (← links)
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
- Anderson Acceleration for Nonsmooth Fixed Point Problems (Q5043623) (← links)
- Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems (Q5210849) (← links)
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (Q6087702) (← links)
