An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
DOI10.1016/J.CAM.2015.08.010zbMATH Open1334.60065OpenAlexW1519957828MaRDI QIDQ893128FDOQ893128
Authors: Lingfei Li, Xianjun Qu, Gongqiu Zhang 
Publication date: 13 November 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.08.010
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dynamic programmingoptimal multiple stoppingreal optionsdiffusionsoptimal switchingeigenfunction expansionscommodity swing options
Numerical mathematical programming methods (65K05) Diffusion processes (60J60) Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cites Work
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- Applications of eigenfunction expansions in continuous-time finance
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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- Title not available (Why is that?)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
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Cited In (9)
- Option Pricing in Some Non-Lévy Jump Models
- The valuation of options on foreign exchange rate in a target zone
- Time discretization and quantization methods for optimal multiple switching problem
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
- Additive subordination and its applications in finance
- Pure jump models for pricing and hedging VIX derivatives
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Optimal stopping in infinite horizon: an eigenfunction expansion approach
- Optimal stopping and early exercise: an eigenfunction expansion approach
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