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A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
Chavanasporn, Walailuck
;
Ewald, Christian-Oliver
- In:
Computational Economics
39
(
2012
)
4
,
pp. 429-446
Persistent link: https://www.econbiz.de/10010866814
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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Itkin, Andrey
;
Carr, Peter
- In:
Computational Economics
40
(
2012
)
1
,
pp. 63-104
Persistent link: https://www.econbiz.de/10010866869
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