The two-dimensional tree-grid method
Igor Kossaczký, Matthias Ehrhardt and Michael Günther
| Year of publication: |
2019
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|---|---|
| Authors: | Kossaczký, Igor ; Ehrhardt, Matthias ; Günther, Michael |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 2, p. 29-57
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| Subject: | two-dimensional (2D) tree-grid method | Hamilton-Jacobi-Bellman (HJB) equation | stochastic control problem (SCP) | two-factor uncertain volatility model | convergence analysis | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.373 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012111259