A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation |
scientific article |
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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (English)
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12 September 2017
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American options
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Hamilton-Jacobi-Bellman equation
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tempered fractional derivative
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unconditional stability
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preconditioner
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