Class Dai2011Solver

    • Method Detail

      • solve

        public 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).

        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.

        Returns:
        the optimal buy and sell boundaries