29 citations · 77 across the 9 of their papers we have counts for
4 papers · 1 filter
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Jan Hendrik Witte, Christoph Reisinger
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of t…
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Christoph Reisinger, Jan Hendrik Witte
In this paper, we demonstrate that policy iteration, introduced in the context of HJB equations in [Forsyth & Labahn, 2007], is an extremely simple generic algorithm for solving li…
The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Sam Howison, Christoph Reisinger, Jan Hendrik Witte
This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American opt…
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Jan Hendrik Witte, Christoph Reisinger
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered prob…