public class Dai2011Solver extends Object
Modifier and Type | Class and Description |
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static class |
Dai2011Solver.Boundaries |
static class |
Dai2011Solver.Builder |
Modifier and Type | Method and Description |
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Dai2011Solver.Boundaries |
solve()
Solves the HJB equations (a nonlinear PDE system) to get the optimal
stopping regions, i.e., the buying region (buy threshold) and the selling
region (sell threshold).
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public Dai2011Solver.Boundaries solve()
For solving the non-linear system, (eq. 9), an iterative scheme is needed in each time step. The initial solution of the iterative scheme is solved by taking the non-linear part to be zero. Then iteratively solve the system until convergence. In most cases, it takes few (or one) iterations to converge.
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