A policy iteration algorithm for the American put option and free boundary control problems

DOI10.1016/j.cam.2019.112544zbMath1450.35299OpenAlexW2981766839WikidataQ115100152 ScholiaQ115100152MaRDI QIDQ1989210

Paraskevas Vassalos, Evangelos F. Magirou, Nikolaos Barakitis

Publication date: 24 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112544

zbMATH Keywords

Black-Scholes equation

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Initial-boundary value problems for second-order parabolic equations (35K20) Free boundary problems for PDEs (35R35)

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