Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
On the Penalisation Error for American Options in a Jump Model
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
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