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 Sciences

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.