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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.
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
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DbLabel: Applied Science & Technology Source
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PubType: Academic Journal
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  Data: A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.
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      – Type: doi
        Value: 10.1007/s10915-013-9739-3
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      – Code: eng
        Text: English
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        PageCount: 22
        StartPage: 409
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      – TitleFull: A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.
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            NameFull: Babbin, J.
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              Text: Feb2014
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