Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
| dc.contributor.author | Wang, Song | |
| dc.contributor.author | Li, W. | |
| dc.date.accessioned | 2017-01-30T13:03:34Z | |
| dc.date.available | 2017-01-30T13:03:34Z | |
| dc.date.created | 2016-02-07T19:30:21Z | |
| dc.date.issued | 2015 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/28184 | |
| dc.identifier.doi | 10.1007/978-3-319-20239-6_10 | |
| dc.description.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. | |
| dc.publisher | Springer | |
| dc.title | Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing | |
| dc.type | Conference Paper | |
| dcterms.source.startPage | 104 | |
| dcterms.source.endPage | 116 | |
| dcterms.source.title | Finite Difference Methods, Theory and Applications | |
| dcterms.source.series | Finite Difference Methods, Theory and Applications | |
| dcterms.source.isbn | 978-3-319-20239-6 | |
| dcterms.source.isbn | 9783319202389 | |
| dcterms.source.conference | 6th International Conference, FDM 2014 | |
| dcterms.source.conference-start-date | Jun 18 2014 | |
| dcterms.source.conferencelocation | Lozenetz, Bulgaria | |
| dcterms.source.place | Switzerland | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Fulltext not available |
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