Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On the Use of Policy Iteration as an Easy Way of Pricing American
  Options   In this paper, we demonstrate that policy iteration, introduced in the
context of HJB equations in [Forsyth & Labahn, 2007], is an extremely simple
generic algorithm for solving linear complementarity problems resulting from
the finite difference and finite element approximation of American options. We
show that, in general, O(N) is an upper and lower bound on the number of
iterations needed to solve a discrete LCP of size N. If embedded in a class of
standard discretisations with M time steps, the overall complexity of American
option pricing is indeed only O(N(M+N)), and, therefore, for M N, identical to
the pricing of European options, which is O(MN). We also discuss the numerical
properties and robustness with respect to model parameters in relation to
penalty and projected relaxation methods.

10
The categories of this paper are: q-bio
16
The categories of this paper are: stat
25
The categories of this paper are: patt-sol
5
The categories of this paper are: gr-qc
20
The categories of this paper are: acc-phys
8
The categories of this paper are: hep-ex
6
The categories of this paper are: astro-ph
33
The categories of this paper are: plasm-ph
34
The categories of this paper are: chem-ph
23
The categories of this paper are: solv-int
9
The categories of this paper are: nlin
30
The categories of this paper are: q-alg
32
The categories of this paper are: atom-ph
36
The categories of this paper are: cmp-lg
37
The categories of this paper are: supr-con
22
The categories of this paper are: chao-dyn