On the Use of Policy Iteration as an Easy Way of Pricing American Options

DOI10.1137/110823328zbMath1257.91051arXiv1012.4976OpenAlexW3103664326MaRDI QIDQ4902222

Jan Hendrik Witte, Christoph Reisinger

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.4976

zbMATH Keywords

linear complementarity problemnumerical solutionpolicy iterationAmerican option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (16)

Anderson Acceleration for Nonsmooth Fixed Point Problems ⋮ Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation ⋮ A generalized Newton method for a class of discrete-time linear complementarity systems ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Investment flexibility as a barrier to entry ⋮ Optimization model to start harvesting in stochastic aquaculture system ⋮ A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options ⋮ Deep learning for CVA computations of large portfolios of financial derivatives ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization ⋮ PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

This page was built for publication: On the Use of Policy Iteration as an Easy Way of Pricing American Options