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by JohnLeM
October 6th, 2008, 11:14 am
Forum: Numerical Methods Forum
Topic: Numerical methods for multidimensional Optimal Stopping Problem
Replies: 33
Views: 54595

Numerical methods for multidimensional Optimal Stopping Problem

<t>Dear Alan,Thank you for your answers. Well, I do confess that you definitively convinced me that investigating on OSP on top of 2D Heston process is an interesting topic. So I would like now to convince my company to structure a research program on that topic. Would you, or anybody else, help me ...
by JohnLeM
October 5th, 2008, 10:42 pm
Forum: Numerical Methods Forum
Topic: Numerical methods for multidimensional Optimal Stopping Problem
Replies: 33
Views: 54595

Numerical methods for multidimensional Optimal Stopping Problem

<t>Alan,thank you for the link to the thread. I will have a careful look. I may be (and in fact I am) a little bit enthusiastic, but having a look to your answer, I think that the work I have done should definitely help in the design of a more efficient PDE solver for OSP (Optimal Stopping problems)...
by JohnLeM
October 5th, 2008, 1:06 am
Forum: Numerical Methods Forum
Topic: Numerical methods for multidimensional Optimal Stopping Problem
Replies: 33
Views: 54595

Numerical methods for multidimensional Optimal Stopping Problem

<r>This post follows up the post <URL url="http://www.wilmott.com/messageview.cfm?catid=11&threadid=65710&STARTPAGE=1I"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... ARTPAGE=1I">http://www.wilmott.com/messageview.cfm?catid=11&threadid=65710&STARTPAGE=1I</LINK_TEXT></UR...
by JohnLeM
October 4th, 2008, 9:48 pm
Forum: Book And Research Paper Forum
Topic: Numerical method for multidimensional Optimal Stopping Problems
Replies: 3
Views: 48337

Numerical method for multidimensional Optimal Stopping Problems

Dear Alan, Dear cuchulainThank you for your helpful remarks. Following Cuchulain advice, I will answer opening a thread in the numerical methods forum.
by JohnLeM
October 3rd, 2008, 7:10 pm
Forum: Book And Research Paper Forum
Topic: Numerical method for multidimensional Optimal Stopping Problems
Replies: 3
Views: 48337

Numerical method for multidimensional Optimal Stopping Problems

<t>This topic may also be part of the numerical methods forum, please apologize if misplaced.I was looking to the numerical analysis of optimal stopping problem written on top of a D dimensional stochastic process.As a quantitative analyst rookie, I have a couple of questions.I tried to read the exi...
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