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

Wang, Song; Li, W.

doi:10.1007/978-3-319-20239-6_10

Access Status

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Authors

Wang, Song

Li, W.

Date

2015

Type

Conference Paper

Metadata

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Citation

Wang, S. and Li, W. 2015. Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing, in Dimov, I. and Farago, I. and Vulkov, L. (ed), Finite difference methods, theory and applications: 6th International Conference, FDM 2014, Jun 18-23 2014, pp. 104-116. Lozenetz, Bulgaria: Springer.

Source Title

Finite Difference Methods, Theory and Applications

Source Conference

6th International Conference, FDM 2014

DOI

10.1007/978-3-319-20239-6_10

ISBN

978-3-319-20239-6

9783319202389

School

Department of Mathematics and Statistics

URI

http://hdl.handle.net/20.500.11937/28184

Collection

Curtin Research Publications

Abstract

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.