Approximation of Dynamic Programs (Q3112476)

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scientific article

Language	Label	Description	Also known as
English	Approximation of Dynamic Programs	scientific article

Statements

scholarly article

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Approximation of Dynamic Programs (English)

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Michèle Breton

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Javier de Frutos

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Handbook of Computational Finance

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publication date

10 January 2012

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-642-17254-0_23

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A Dynamic Programming Procedure for Pricing American-Style Asian Options

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A dynamic programming approach to price installment options

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A dynamic programming approach for pricing options embedded in bonds

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Dynamic Programming Approach for Valuing Options in the GARCH Model

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Option Pricing Under GARCH Processes Using PDE Methods

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Spectral Methods

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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

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American option pricing under GARCH by a Markov chain approximation

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A spectral method for bonds

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Approximations of Dynamic Programs, I

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Approximations of Dynamic Programs, II

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Identifiers

zbMATH Open document ID

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10.1007/978-3-642-17254-0_23

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3112476

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