Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing

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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...

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Bibliographic Details
Main Authors:	Wang, Song, Li, W.
Format:	Conference Paper
Published:	Springer 2015
Online Access:	http://hdl.handle.net/20.500.11937/28184

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