Optimal stopping under partial observation: Near-value iteration

IEEE Transactions on Automatic Control

Volumn 58, Issue 2, 2013, Pages 500-506

  Zhou, Enlu ^a  

^a United States of America   (United States)

Author keywords

American option pricing; dynamic programming; optimal stopping; value iteration

Indexed keywords

AMERICAN OPTIONS; COMPUTATIONAL SAVINGS; LINEAR FUNCTIONS; LOWER AND UPPER BOUNDS; NUMERICAL SOLUTION; OPTIMAL STOPPING; OPTIMAL STOPPING PROBLEM; PARTIAL OBSERVATION; STOCHASTIC VOLATILITY; SUPREMUM; TIME STEP; VALUE FUNCTION APPROXIMATION; VALUE FUNCTIONS; VALUE ITERATION;

APPROXIMATION ALGORITHMS; DYNAMIC PROGRAMMING; ECONOMICS; OPTIMIZATION;

ITERATIVE METHODS;

EID: 84873876532     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2012.2206718     Document Type: Article

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