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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation.
Xu Chen
Wenfei Wang
Deng Ding
Siu-Long Lei
Published in:
Comput. Math. Appl. (2017)
Keyphrases
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neural network
machine learning
dynamic programming
mathematical model
cost function
model free
objective function
optimal control