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Markovian projection
Stochastic Optimal Control with Exercise Rate Optimization and Markovian Projections: Pricing American Options and Importance Sampling Applications
Raul Tempone, Professor, Applied Mathematics and Computational Science
Oct 31, 15:30
-
17:00
B5 L5 R5209
sampling
Markovian projection
This talk begins with the problem of pricing American basket options in a multivariate setting. In high dimensions, nonlinear PDE methods for solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation become expensive due to the curse of dimensionality.
