On the use of policy iteration as an easy way of pricing American options (Q4902222)
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scientific article; zbMATH DE number 6130651
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| English | On the use of policy iteration as an easy way of pricing American options |
scientific article; zbMATH DE number 6130651 |
Statements
On the Use of Policy Iteration as an Easy Way of Pricing American Options (English)
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25 January 2013
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American option
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linear complementarity problem
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numerical solution
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policy iteration
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0.855758547782898
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0.818297803401947
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