Solving Free-boundary Problems with Applications in Finance Paperback / softback
by Kumar Muthuraman, Sunil Kumar
Part of the Foundations and Trends (R) in Stochastic Systems series
Paperback / softback
Description
Stochastic control problems in which there are no bounds on the rate of control reduce to so-called free-boundary problems in partial differential equations (PDEs).
In a free-boundary problem the solution of the PDE and the domain over which the PDE must be solved need to be determined simultaneously.
Examples of such stochastic control problems are singular control, optimal stopping and impulse control problems. Application areas of these problems are diverse and include finance, economics, queuing, healthcare and public policy.
In most cases, the free-boundary problem needs to be solved numerically.
This volume presents a recent computational method that solves these free-boundary problems.
The method finds the free boundary by solving a sequence of fixed-boundary problems. These fixed boundary problems are relatively easy to solve numerically.
Recent results on this moving boundary method are summarized and unified, illustrating its application on a set of classical problems, of increasing difficulty, in finance.
This volume is intended for those who are primarily interested in computing numerical solutions to these problems.
To this end, actual Matlab code is included for one of the problems studied, namely, American option pricing.
Information
-
Item not Available
- Format:Paperback / softback
- Pages:96 pages
- Publisher:now publishers Inc
- Publication Date:14/08/2008
- Category:
- ISBN:9781601981684
Information
-
Item not Available
- Format:Paperback / softback
- Pages:96 pages
- Publisher:now publishers Inc
- Publication Date:14/08/2008
- Category:
- ISBN:9781601981684
