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: | , |
|---|---|
| Format: | Conference Paper |
| Published: |
Springer
2015
|
| Online Access: | http://hdl.handle.net/20.500.11937/28184 |
| _version_ | 1848752467880181760 |
|---|---|
| author | Wang, Song Li, W. |
| author_facet | Wang, Song Li, W. |
| author_sort | Wang, Song |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 PDEs. |
| first_indexed | 2025-11-14T08:09:05Z |
| format | Conference Paper |
| id | curtin-20.500.11937-28184 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:09:05Z |
| publishDate | 2015 |
| publisher | Springer |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-281842017-11-02T06:23:06Z Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing Wang, Song Li, W. 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 PDEs. 2015 Conference Paper http://hdl.handle.net/20.500.11937/28184 10.1007/978-3-319-20239-6_10 Springer restricted |
| spellingShingle | Wang, Song Li, W. Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title_full | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title_fullStr | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title_full_unstemmed | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title_short | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing |
| title_sort | recent advances in numerical solution of hjb equations arising in option pricing |
| url | http://hdl.handle.net/20.500.11937/28184 |