Approximation of dynamic programs

DOI10.1007/978-3-642-17254-0_23MaRDI QIDQ3112476zbMATH OpenOpenAlexFDO

Authors Michèle Breton, Javier de Frutos

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_23

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Discrete approximations in optimal control (49M25)

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Cites work

• A dynamic programming approach for pricing options embedded in bonds
• A dynamic programming approach to price installment options
• A dynamic programming procedure for pricing American-style Asian options
• A spectral method for bonds
• American option pricing under GARCH by a Markov chain approximation
• Approximations of Dynamic Programs, I
• Approximations of Dynamic Programs, II
• Dynamic programming approach for valuing options in the GARCH model
• Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
• Option Pricing Under GARCH Processes Using PDE Methods
• Spectral Methods
• The evaluation of discrete barrier options in a path integral framework

Cited in

(14)

• Evaluation of counterparty credit risk under netting agreements
• scientific article; zbMATH DE number 55177 (Why is no real title available?)
• What you should know about approximate dynamic programming
• Asymptotic properties in dynamic programming
• On Bounds for Dynamic Programs
• Approximate Dynamic Programming via a Smoothed Linear Program
• Dynamic programming approach to optimization of approximate decision rules
• Evaluation of counterparty risk for derivatives with early-exercise features
• Data approximation using Lotka-Volterra models and a software minimization function
• Ratio dynamic programs
• scientific article; zbMATH DE number 4174799 (Why is no real title available?)
• A spectral method for an optimal investment problem with transaction costs under potential utility
• Dynamic programming and value-function approximation in sequential decision problems: error analysis and numerical results
• The Linear Programming Approach to Approximate Dynamic Programming

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