Blar i Institutt for datateknologi, elektroteknologi og realfag på tidsskrift "Computational Economics"

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    • A fitted L-Multi-point Flux Approximation method for pricing options 

      Koffi, Stephane Rock; Tambue, Antoine (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 

      Dleuna Nyoumbi, Christelle; Tambue, Antoine (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 ...