E-monotone Fourier methods for optimal stochastic control in finance
Year of publication: |
2019
|
---|---|
Authors: | Forsyth, Peter A. ; Labahn, George |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018/2019, 4, p. 25-71
|
Subject: | monotonicity | Fourier methods | discrete comparison | optimal stochastic control | finance | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming |
-
Federico, Salvatore, (2015)
-
Optimal trading : the importance of being adaptive
Bellani, Claudio, (2021)
-
Incorporating signals into optimal trading
Lehalle, Charles-Albert, (2019)
- More ...
-
Valuing the guaranteed minimum death benefit clause with partial withdrawals
BĂ©langer, A. C., (2009)
-
Defined contribution pension plans: Who has seen the risk?
Forsyth, Peter A., (2019)
-
Calibration and hedging under jump diffusion
He, Changhong, (2006)
- More ...