A comparison of iterated optimal stopping and local policy iteration for American options under regime switching

DOI10.1007/s10915-013-9739-3zbMath1306.60039OpenAlexW1969436586MaRDI QIDQ461227

J. Babbin, George Labahn, Peter A. I. Forsyth

Publication date: 10 October 2014

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-013-9739-3

zbMATH Keywords

regime switchingAmerican optionsiterated optimal stoppinglocal policy iteration

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical methods for variational inequalities and related problems (65K15)

Related Items (8)

Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Computing American option price under regime switching with rationality parameter ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

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