Blar i HVL Open på tidsskrift "Computational Economics"
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A fitted L-Multi-point Flux Approximation method for pricing options
(Peer reviewed; Journal article, 2021)In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for ... -
A novel high dimensional fitted scheme for stochastic optimal control problems
(Peer reviewed; Journal article, 2021)Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical ...