29 citations · 77 across the 9 of their papers we have counts for
3 papers · 2 filters
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…