Approximation of Dynamic Programs

DOI10.1007/978-3-642-17254-0_23zbMath1229.91334OpenAlexW1000080145MaRDI QIDQ3112476

Michèle Breton, Javier de Frutos

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_23

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Discrete approximations in optimal control (49M25)

Related Items (2)

Evaluation of counterparty risk for derivatives with early-exercise features ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility

Cites Work

• Unnamed Item
• A dynamic programming approach for pricing options embedded in bonds
• Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
• A spectral method for bonds
• A dynamic programming approach to price installment options
• Option Pricing Under GARCH Processes Using PDE Methods
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• Dynamic Programming Approach for Valuing Options in the GARCH Model
• Approximations of Dynamic Programs, I
• Approximations of Dynamic Programs, II
• Spectral Methods
• American option pricing under GARCH by a Markov chain approximation

This page was built for publication: Approximation of Dynamic Programs