A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.
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| Title: | A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching. |
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| Authors: | Babbin, J.1, jbabbin@uwaterloo.ca, Forsyth, P.2, paforsyt@uwaterloo.ca, Labahn, G.2, glabahn@uwaterloo.ca |
| Source: | Journal of Scientific Computing; Feb2014, Vol. 58 Issue 2, p409-430, 22p |
| Database: | Applied Science & Technology Source |
| ISSN: | 08857474 |
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| DOI: | 10.1007/s10915-013-9739-3 |
