Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
This paper provides a brief survey on some of the recent numerical techniques and schemes for solving Hamilton-Jacobi-Bellman equations arising in pricing various options. These include optimization methods in both infinite and finite dimensions and discretization schemes for nonlinear parabolic PDE...
| Main Authors: | , |
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| Format: | Conference Paper |
| Published: |
Springer
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/28184 |