求解美式期权定价问题的两类新的迭代算法
Two New Iterative Methods for Solving American Option Pricing Problems

提出了2类改进的局部策略迭代算法求解一类美式期权定价模型离散得到的优化控制差分方程组,证明了算法的收敛性.数值实验表明了算法的有效性.
Two modified local policy iterative algorithms have been proposed for solving the optimal control difference equations arising from the American option pricing problems.The convergence of the algorithms have been also proved.Numerical experiments show the effectiveness of the algorithms