A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
type: Item
instance of: scholarly article
title: A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
zbMATH Open document ID: 1306.60039
author: J. Babbin
author: G. Labahn
author: P. A. Forsyth
published in: Journal of Scientific Computing
publication date: 2014-10-10T00:00:00Z
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 65N06
Mathematics Subject Classification ID: 65K15
zbMATH DE Number: 6353567
zbMATH Keywords: iterated optimal stopping
zbMATH Keywords: local policy iteration
zbMATH Keywords: American options
zbMATH Keywords: regime switching
MaRDI profile type: Publication
full work available at URL: s10915-013-9739-3
OpenAlex ID: W1969436586
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DOI: 10.1007/S10915-013-9739-3
reviewed by: Pavel Gapeev
description: scientific article; zbMATH DE number 6353567